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Citations for "Forecasting recessions using the yield curve"

by Marcelle Chauvet & Simon M. Potter

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  1. Michael Bordo & Joseph Haubrich, 2004. "The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997," Econometric Society 2004 North American Summer Meetings 165, Econometric Society.
  2. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  3. Marcelle, Chauvet & Simon, Potter, 2007. "Monitoring Business Cycles with Structural Breaks," MPRA Paper 15097, University Library of Munich, Germany, revised 31 Apr 2009.
  4. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, Elsevier.
  5. Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  6. Thomas B. King & Andrew T. Levin & Roberto Perli, 2007. "Financial market perceptions of recession risk," Finance and Economics Discussion Series 2007-57, Board of Governors of the Federal Reserve System (U.S.).
  7. Strauss, Jack, 2013. "Does housing drive state-level job growth? Building permits and consumer expectations forecast a state’s economic activity," Journal of Urban Economics, Elsevier, vol. 73(1), pages 77-93.
  8. Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
  9. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, Elsevier.
  10. Projektgruppe Gemeinschaftsdiagnose, 2010. "Gemeinschaftsdiagnose Herbst 2010: Deutschland im Aufschwung – Wirtschaftspolitik vor wichtigen Entscheidungen," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(20), pages 03-61, October.
  11. Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho.
  12. Shu Wu & Yong Zeng, 2005. "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(07), pages 839-869.
  13. Peláez, Rolando F., 2015. "A biannual recession-forecasting model," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 384-393.
  14. Ang, James & Smedema, Adam, 2011. "Financial flexibility: Do firms prepare for recession?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 774-787, June.
  15. Periklis Gogas & Ioannis Pragidis, 2012. "GDP trend deviations and the yield spread: the case of eight E.U. countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 226-237, January.
  16. Bob McNabb & Karl Taylor, 2002. "Business Cycles and the Role of Confidence: Evidence from Europe," Discussion Papers in Economics 02/3, Department of Economics, University of Leicester.
  17. Thomas Theobald, 2012. "Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis," IMK Working Paper 98-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  18. Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
  19. Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 2013-05, University of Sydney Business School, Discipline of Business Analytics.
  20. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
  21. Ng, Eric C.Y., 2012. "Forecasting US recessions with various risk factors and dynamic probit models," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 112-125.
  22. Gogas, Periklis & Pragidis, Ioannis, 2010. "GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries," DUTH Research Papers in Economics 2-2010, Democritus University of Thrace, Department of Economics.
  23. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," The School of Economics Discussion Paper Series 0202, Economics, The University of Manchester.
  24. Gogas, Periklis & Pragidis, Ioannis, 2010. "Does the Interest Risk Premium Predict Housing Prices?," DUTH Research Papers in Economics 1-2010, Democritus University of Thrace, Department of Economics.
  25. Abdul Majid, Muhamed Zulkhibri, 2011. "Predicting Output and Inflation in Less Developed Financial Markets Using the Yield Curve: Evidence from Malaysia," MPRA Paper 29039, University Library of Munich, Germany.
  26. Chauvet, Marcelle & Potter, Simon, 2010. "Business cycle monitoring with structural changes," International Journal of Forecasting, Elsevier, vol. 26(4), pages 777-793, October.
  27. Chauvet, Marcelle & Potter, Simon, 2002. "Predicting a recession: evidence from the yield curve in the presence of structural breaks," Economics Letters, Elsevier, vol. 77(2), pages 245-253, October.
  28. Tiziana Cesaroni & Stefano Iezzi, 2015. "The Predictive Content of Business Survey Indicators: evidence from SIGE," Working Papers LuissLab 15118, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  29. Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," NIPE Working Papers 21/2010, NIPE - Universidade do Minho.
  30. James D. Hamilton, 2010. "Calling Recessions in Real Time," NBER Working Papers 16162, National Bureau of Economic Research, Inc.
  31. Jeremy J. Nalewaik, 2011. "Forecasting recessions using stall speeds," Finance and Economics Discussion Series 2011-24, Board of Governors of the Federal Reserve System (U.S.).
  32. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
  33. Buchmann, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
  34. Travis J. Berge, 2013. "Predicting recessions with leading indicators: model averaging and selection over the business cycle," Research Working Paper RWP 13-05, Federal Reserve Bank of Kansas City.
  35. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  36. Ray Fair, 2009. "Analyzing Macroeconomic Forecastability," Yale School of Management Working Papers amz2443, Yale School of Management, revised 01 Oct 2009.
  37. Theobald, Thomas, 2013. "Markov Switching with Endogenous Number of Regimes and Leading Indicators in a Real-Time Business Cycle Forecast," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79911, Verein für Socialpolitik / German Economic Association.
  38. Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer, 2009. "Composite Leading Indicators for Ukraine: An Early Warning Model," CASE Network Reports 0085, CASE-Center for Social and Economic Research.
  39. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
  40. Ray C. Fair, 2009. "Analyzing Macroeconomic Forecastability," Cowles Foundation Discussion Papers 1706, Cowles Foundation for Research in Economics, Yale University, revised Aug 2010.
  41. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers 2008-15, Banco de México.
  42. repec:kap:iaecre:v:16:y:2010:i:1:p:1-10 is not listed on IDEAS
  43. Chauvet, Marcelle & Senyuz, Zeynep, 2016. "A dynamic factor model of the yield curve components as a predictor of the economy," International Journal of Forecasting, Elsevier, vol. 32(2), pages 324-343.
  44. Henri Nyberg, 2010. "Testing an autoregressive structure in binary time series models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1460-1473.
  45. Harri Pönkä, 2015. "The Role of Credit in Predicting US Recessions," CREATES Research Papers 2015-48, Department of Economics and Business Economics, Aarhus University.
  46. D R Osborn & M Sensier & D van Dijk, 2003. "Predicting Growth Cycle Regimes for European Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 39, Economics, The Univeristy of Manchester.
  47. Jens Boysen-Hogrefe, 2012. "A note on predicting recessions in the euro area using real M1," Economics Bulletin, AccessEcon, vol. 32(2), pages 1291-1301.
  48. repec:syb:wpbsba:05/2013 is not listed on IDEAS
  49. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 419-440.
  50. Wh Boshoff, 2005. "The Properties Of Cycles In South African Financial Variables And Their Relation To The Business Cycle," South African Journal of Economics, Economic Society of South Africa, vol. 73(4), pages 694-709, December.
  51. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
  52. Patrick De lamirande & Jason Stevens, 2016. "Predicting events with an unidentified time horizon," Economics Bulletin, AccessEcon, vol. 36(2), pages 729-735.
  53. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
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