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Citations for "Indicator Properties of the Paper-Bill Spread: Lessons from Recent Experiences"

by Benjamin M. Friedman & Kenneth N. Kuttner

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  1. 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.
  2. Chuderewicz, Russell P., 2002. "Using interest rate uncertainty to predict the paper-bill spread and real output," Journal of Economics and Business, Elsevier, vol. 54(3), pages 293-312.
  3. 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.
  4. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
  5. Pons Novell, J., 2002. "Ciclo de la economía española y contenido informativo de los tipos de interés," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 20, pages 583-598, Diciembre.
  6. Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
  7. Matthew Canzoneri & Robert Cumby, 2014. "Optimal Exchange Intervention in an Inflation Targeting Regime: Some Cautionary Tales," Open Economies Review, Springer, vol. 25(3), pages 429-450, July.
  8. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
  9. Aaron Tornell & Frank Westermann, 2002. "The Credit Channel in Middle Income Countries," NBER Working Papers 9355, National Bureau of Economic Research, Inc.
  10. Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2002. "Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries," Monash Econometrics and Business Statistics Working Papers 20/02, Monash University, Department of Econometrics and Business Statistics.
  11. Verona, Fabio & Martins, Manuel M. F. & Drumond, Inês, 2013. "(Un)anticipated monetary policy in a DSGE model with a shadow banking system," Research Discussion Papers 4/2013, Bank of Finland.
  12. Aslanidis, Nektarios & Cipollini, Andrea, 2009. "Leading indicator properties of US high-yield credit spreads," Working Papers 2072/15810, Universitat Rovira i Virgili, Department of Economics.
  13. Marcelle Chauvet & Simon Potter, 2005. "Forecasting recessions using the yield curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 77-103.
  14. Arturo Estrella & Tobias Adrian, 2009. "Monetary tightening cycles and the predictability of economic activity," Staff Reports 397, Federal Reserve Bank of New York.
  15. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
  16. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
  17. Berument, Hakan & Kilinc, Zubeyir & Ozlale, Umit, 2004. "The effects of different inflation risk premiums on interest rate spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 317-324.
  18. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, vol. 63(5), pages 412-430, September.
  19. repec:ehl:lserod:56407 is not listed on IDEAS
  20. Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers 14863, National Bureau of Economic Research, Inc.
  21. Potter Simon M., 2000. "A Nonlinear Model of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(2), pages 1-11, July.
  22. Domac, Ilker & Ferri, Giovanni, 1998. "The real impact of financial shocks : evidence from the Republic of Korea," Policy Research Working Paper Series 2010, The World Bank.
  23. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  24. Chen, Yi-Ting, 2006. "Non-nested tests for competing U.S. narrow money demand functions," Economic Modelling, Elsevier, vol. 23(2), pages 339-363, March.
  25. Gebhardt Kirschgässner & Marcel Savioz, 2001. "Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany," German Economic Review, Verein für Socialpolitik, vol. 2(4), pages 339-365, November.
  26. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
  27. Malik, Farooq & Ewing, Bradley T. & Kruse, Jamie B. & Lynch, Gerald J., 2009. "Modeling the time-varying volatility of the paper-bill spread," Journal of Economics and Business, Elsevier, vol. 61(5), pages 404-414, September.
  28. Ewing, Bradley T. & Payne, James E., 2005. "The response of real estate investment trust returns to macroeconomic shocks," Journal of Business Research, Elsevier, vol. 58(3), pages 293-300, March.
  29. Xuanhua Xu & Bin Pan, 2010. "Capital liquidity and residents’ consumption decision: An asymmetry analysis of economic prosperity," Frontiers of Economics in China, Springer;Higher Education Press, vol. 5(4), pages 622-639, December.
  30. Ewing, Bradley T., 2003. "The response of the default risk premium to macroeconomic shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 261-272.
  31. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, vol. 16(1), pages 39-58.
  32. Holtemöller, Oliver, 2002. "Further VAR evidence for the effectiveness of a credit channel in Germany," SFB 373 Discussion Papers 2002,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  33. Hännikäinen, Jari, 2015. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Review of Financial Economics, Elsevier, vol. 26(C), pages 47-54.
  34. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006 115, Money Macro and Finance Research Group.
  35. Honda, Yuzo, 2004. "Bank capital regulations and the transmission mechanism," Journal of Policy Modeling, Elsevier, vol. 26(6), pages 675-688, September.
  36. Gertler, Mark & Lown, Cara S, 1999. "The Information in the High-Yield Bond Spread for the Business Cycle: Evidence and Some Implications," Oxford Review of Economic Policy, Oxford University Press, vol. 15(3), pages 132-50, Autumn.
  37. Chikashi Tsuji, 2005. "Does the term structure predict real economic activity in Japan?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(4), pages 249-257, July.
  38. repec:hhs:bofrdp:2013_004 is not listed on IDEAS
  39. Boulier, Bryan L. & Stekler, H. O., 2000. "The term spread as a monthly cyclical indicator: an evaluation," Economics Letters, Elsevier, vol. 66(1), pages 79-83, January.
  40. Eddie Gerba, 2015. "Have the US macro-financial linkages changed? The balance sheet dimension," LSE Research Online Documents on Economics 59886, London School of Economics and Political Science, LSE Library.
  41. Benbouzid, Nadia & Mallick, Sushanta, 2013. "Determinants of bank credit default swap spreads: The role of the housing sector," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 243-259.
  42. Brock, Philip L. & Rojas Suarez, Liliana, 2000. "Understanding the behavior of bank spreads in Latin America," Journal of Development Economics, Elsevier, vol. 63(1), pages 113-134, October.
  43. Ewing, Bradley T. & Lynch, Gerald J. & Payne, James E., 2003. "The paper-bill spread and real output: what matters more, a change in the paper rate or a change in the bill rate?," Review of Financial Economics, Elsevier, vol. 12(3), pages 233-246.
  44. Erdem Basci & Yusuf Soner Baskaya & Mustafa Kilinc, 2011. "Financial Shocks and Industrial Employment," Working Papers 1112, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  45. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, vol. 24(2), pages 197-215, April.
  46. Herman O. Stekler & Tianyu Ye, 2016. "Evaluating a Leading Indicator: An Application: the Term Spread," Working Papers 2016-004, The George Washington University, Department of Economics, Research Program on Forecasting.
  47. Kwark, Noh-Sun, 2002. "Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator," Journal of Economic Dynamics and Control, Elsevier, vol. 26(2), pages 271-302, February.
  48. 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.
  49. Aaron Tornell, 2002. "The Credit Channel in Middle Income Countries (October 2002), with Frank Westermann," UCLA Economics Online Papers 216, UCLA Department of Economics.
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