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Citations for "Forecasting recessions using the yield curve"

by Marcelle Chauvet & Simon Potter

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  1. Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
  2. Periklis Gogas & Ioannis Pragidis, 2010. "GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries," Papers 1005.1326, arXiv.org.
  3. Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho.
  4. Travis 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.
  5. 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.
  6. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  7. 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.
  8. 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.
  9. 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.
  10. Michael D. Bordo & Joseph G. Haubrich, 2004. "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Paper 0402, Federal Reserve Bank of Cleveland.
  11. 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, vol. 36(1), pages 226-237, January.
  12. James D. Hamilton, 2010. "Calling Recessions in Real Time," NBER Working Papers 16162, National Bureau of Economic Research, Inc.
  13. Sensier, Marianne & Artis, Michael & Osborn, Denise R. & Birchenhall, Chris, 2004. "Domestic and international influences on business cycle regimes in Europe," International Journal of Forecasting, Elsevier, vol. 20(2), pages 343-357.
  14. 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.
  15. Yong Zeng & Shu Wu, 2004. "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings 304, Econometric Society.
  16. Dionisios Chionis & Periklis Gogas & Ioannis Pragidis, 2010. "Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity," International Advances in Economic Research, International Atlantic Economic Society, vol. 16(1), pages 1-10, February.
  17. Marcelle, Chauvet & Simon, Potter, 2007. "Monitoring Business Cycles with Structural Breaks," MPRA Paper 15097, University Library of Munich, Germany, revised 31 Apr 2009.
  18. 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.
  19. 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.
  20. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04.
  21. 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.
  22. 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.
  23. 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.
  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. Ang, James & Smedema, Adam, 2011. "Financial flexibility: Do firms prepare for recession?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 774-787, June.
  27. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
  28. 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.).
  29. Henri Nyberg, 2010. "Testing an autoregressive structure in binary time series models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1460-1473.
  30. Ray Fair, 2009. "Analyzing Macroeconomic Forecastability," Yale School of Management Working Papers amz2443, Yale School of Management, revised 01 Oct 2009.
  31. 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.
  32. 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.
  33. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  34. 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.
  35. Ray C. Fair, 2009. "Analyzing Macroeconomic Forecastability," Cowles Foundation Discussion Papers 1706, Cowles Foundation for Research in Economics, Yale University, revised Aug 2010.
  36. repec:syb:wpbsba:05/2013 is not listed on IDEAS
  37. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
  38. Chauvet, Marcelle & Potter, Simon, 2010. "Business cycle monitoring with structural changes," International Journal of Forecasting, Elsevier, vol. 26(4), pages 777-793, October.
  39. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
  40. 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.).
  41. 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.
  42. 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.
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