Nothing Special   »   [go: up one dir, main page]
create a website
What does the yield curve tell us about GDP growth?. (2006). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
In: Journal of Econometrics.
RePEc:eee:econom:v:131:y:2006:i:1-2:p:359-403.

Full description at Econpapers || Download paper

Cited: 417

Citations received by this document

Cites: 61

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Downturns and changes in the yield slope. (2024). Abbritti, Mirko ; Moreno, Antonio ; Equiza, Juan ; Trani, Tommaso.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:3:p:673-701.

    Full description at Econpapers || Download paper

  2. Credit default swaps and corporate carbon emissions in Japan. (2024). Takaoka, Sumiko ; Okimoto, Tatsuyoshi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002123.

    Full description at Econpapers || Download paper

  3. Low interest rates and the predictive content of the yield curve. (2024). Haubrich, Joseph G ; Bordo, Michael D.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000056.

    Full description at Econpapers || Download paper

  4. Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1446_24.

    Full description at Econpapers || Download paper

  5. Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav.
    In: Staff Working Papers.
    RePEc:bca:bocawp:24-6.

    Full description at Econpapers || Download paper

  6. U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields. (2024). Sekkel, Rodrigo ; Feunou, Bruno ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann.
    In: Staff Working Papers.
    RePEc:bca:bocawp:24-12.

    Full description at Econpapers || Download paper

  7. Predicting economic growth: evidence from real-estate loans securitization. (2023). Chatterjee, Ujjal.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00456-x.

    Full description at Econpapers || Download paper

  8. Stochastic modelling of the home equity access scheme. (2023). Miller, Michael ; Bruhn, Aaron ; Lamarra, Tyson.
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:48:y:2023:i:3:p:652-677.

    Full description at Econpapers || Download paper

  9. Impact of financial inclusion on economic growth in secular and religious countries. (2023). Syed, Aamir ; Lay, Sok Heng ; Ozili, Peterson K.
    In: MPRA Paper.
    RePEc:pra:mprapa:116413.

    Full description at Econpapers || Download paper

  10. Text-Based Recession Probabilities. (2023). Mezo, Helena ; Lebastard, Laura ; Minesso, Massimo Ferrari.
    In: IMF Economic Review.
    RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00177-5.

    Full description at Econpapers || Download paper

  11. Dynamic asset allocation strategy: an economic regime approach. (2023). Kwon, Dohyoung ; Kim, Minjeong.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:2:d:10.1057_s41260-022-00296-8.

    Full description at Econpapers || Download paper

  12. Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets. (2023). Rannenberg, Ansgar ; Lejeune, Thomas ; de Walque, Grégory.
    In: Working Paper Research.
    RePEc:nbb:reswpp:202302-433.

    Full description at Econpapers || Download paper

  13. Why Does the Yield Curve Predict GDP Growth? The Role of Banks. (2023). Wei, Min ; Schneider, Andres ; Minoiu, Camelia.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96648.

    Full description at Econpapers || Download paper

  14. Recession Signals and Business Cycle Dynamics: Tying the Pieces Together. (2023). Kiley, Michael T.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2023-08.

    Full description at Econpapers || Download paper

  15. Recessions and flattening of the yield curve (1960–2021): A two-way road under a regime switching approach. (2023). Cendejas, Jose Luis.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:88:y:2023:i:c:p:8-20.

    Full description at Econpapers || Download paper

  16. Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001080.

    Full description at Econpapers || Download paper

  17. Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy.
    In: Energy Economics.
    RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001305.

    Full description at Econpapers || Download paper

  18. The nexus between oil and airline stock returns: Does time frequency matter?. (2023). Brooks, Robert ; Do, Hung Xuan ; Pham, Son D ; Asadi, Mehrad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005734.

    Full description at Econpapers || Download paper

  19. On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C.
    In: Economic Systems.
    RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x.

    Full description at Econpapers || Download paper

  20. The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978.

    Full description at Econpapers || Download paper

  21. Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:85:y:2023:i:1:p:208-237.

    Full description at Econpapers || Download paper

  22. .

    Full description at Econpapers || Download paper

  23. .

    Full description at Econpapers || Download paper

  24. Can news-based economic sentiment predict bubbles in precious metal markets?. (2022). Maghyereh, Aktham ; Abdoh, Hussein.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00341-w.

    Full description at Econpapers || Download paper

  25. A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen.
    In: Computational Economics.
    RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w.

    Full description at Econpapers || Download paper

  26. ON THE DEVELOPMENT OF THE ISLAMIC BENCHMARK RATE: AN INDONESIAN CASE. (2022). Jatmiko, Wahyu ; Prasetyo, Muhammad Budi ; Hendranastiti, Nur Dhani ; Husodo, Zafri A ; Indrawan, Imam Wahyudi ; Dahlan, Dahnila ; Sakti, Ali ; Husman, Jardine A.
    In: Working Papers.
    RePEc:idn:wpaper:wp042022.

    Full description at Econpapers || Download paper

  27. Credit Default Swaps and Corporate Carbon Emissions in Japan. (2022). Tatsuyoshi, Okimoto ; Sumiko, Takaoka.
    In: Discussion papers.
    RePEc:eti:dpaper:22098.

    Full description at Econpapers || Download paper

  28. Oil price shocks and yield curve dynamics in emerging markets. (2022). GUPTA, RANGAN ; Lucey, Brian ; Karahan, Cenk C ; Cepni, Oguzhan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:80:y:2022:i:c:p:613-623.

    Full description at Econpapers || Download paper

  29. Macroeconomic determinants of foreign exchange rate exposure. (2022). Fuchs, Fabian U.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:85:y:2022:i:c:p:77-102.

    Full description at Econpapers || Download paper

  30. The credit spread curve distribution and economic fluctuations in Japan. (2022). Takaoka, Sumiko ; Okimoto, Tatsuyoshi.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002333.

    Full description at Econpapers || Download paper

  31. Salience theory and the cross-section of stock returns: International and further evidence. (2022). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:146:y:2022:i:2:p:689-725.

    Full description at Econpapers || Download paper

  32. Spread position as a leading economic indicator. (2022). Park, Yang-Ho.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000586.

    Full description at Econpapers || Download paper

  33. Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets. (2022). Zaremba, Adam ; Umar, Zaghum ; Aharon, David Y ; Kizys, Renatas.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001239.

    Full description at Econpapers || Download paper

  34. Spillovers between sovereign yield curve components and oil price shocks. (2022). Alwahedi, Wafa ; Esparcia, Carlos ; Aharon, David Y ; Umar, Zaghum.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001396.

    Full description at Econpapers || Download paper

  35. COVID-19 related media sentiment and the yield curve of G-7 economies. (2022). Vo, Xuan Vinh ; Azman, Mukhriz Izraf ; Umar, Zaghum ; Aharon, David Y.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:61:y:2022:i:c:s106294082200033x.

    Full description at Econpapers || Download paper

  36. Further evidence on financial information and economic activity forecasts in the United States. (2022). Li, Bin ; Shi, QI.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000079.

    Full description at Econpapers || Download paper

  37. Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:9922.

    Full description at Econpapers || Download paper

  38. Term premium dynamics and its determinants: the Mexican case. (2022). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar, Ana.
    In: BIS Working Papers.
    RePEc:bis:biswps:993.

    Full description at Econpapers || Download paper

  39. Using Intermarket Data to Evaluate the Efficient Market Hypothesis with Machine Learning. (2022). Perkins, Grant ; Diamond, N'Yoma.
    In: Papers.
    RePEc:arx:papers:2212.08734.

    Full description at Econpapers || Download paper

  40. Predicting GDP growth with stock and bond markets: Do they contain different information?. (2021). McMillan, David G.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3651-3675.

    Full description at Econpapers || Download paper

  41. Macroeconomic and financial implications of multi?dimensional interdependencies between OECD countries. (2021). Flores, Edgar Mata ; Sevinc, Deniz.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:741-776.

    Full description at Econpapers || Download paper

  42. Government Debt Maturity in Japan: 1965 to the Present. (2021). Koeda, Junko ; Kimura, Yosuke.
    In: Working Papers.
    RePEc:wap:wpaper:2103.

    Full description at Econpapers || Download paper

  43. Government Debt Maturity in Japan: 1965 to the Present. (2021). Koeda, Junko ; Kimura, Yosuke.
    In: Working Papers.
    RePEc:tcr:wpaper:e163.

    Full description at Econpapers || Download paper

  44. Predicting Recessions in Germany Using the German and the US Yield Curve. (2021). Paick, Martin.
    In: Journal of Business Cycle Research.
    RePEc:spr:jbuscr:v:17:y:2021:i:3:d:10.1007_s41549-021-00061-7.

    Full description at Econpapers || Download paper

  45. Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. (2021). Vo, Xuan Vinh ; Umar, Zaghum ; Aharon, David Y.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00274-w.

    Full description at Econpapers || Download paper

  46. Forecasting building permits with Google Trends. (2021). Pincheira, Pablo ; Coble, David.
    In: Empirical Economics.
    RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02011-1.

    Full description at Econpapers || Download paper

  47. Information in the Term Structure: A Forecasting Perspective. (2021). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:8:p:5255-5277.

    Full description at Econpapers || Download paper

  48. The Yield Curve as a Leading Indicator: Accuracy and Timing of a Parsimonious Forecasting Model. (2021). Zhang, Dan ; Seip, Knut Lehre.
    In: Forecasting.
    RePEc:gam:jforec:v:3:y:2021:i:2:p:25-436:d:564333.

    Full description at Econpapers || Download paper

  49. Forecasting Recessions with Financial Variables and Temporal Dependence. (2021). Chu, Pyung Kun.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:3:p:118-:d:620232.

    Full description at Econpapers || Download paper

  50. When and why do stock and bond markets predict US economic growth?. (2021). McMillan, David G.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:80:y:2021:i:c:p:331-343.

    Full description at Econpapers || Download paper

  51. The role of macroeconomic and policy uncertainty in density forecast dispersion. (2021). Tay, Anthony ; Li, You.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:67:y:2021:i:c:s0164070420301907.

    Full description at Econpapers || Download paper

  52. Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2021). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:118:y:2021:i:c:s0261560621001224.

    Full description at Econpapers || Download paper

  53. Treasury yield implied volatility and real activity. (2021). Fleckenstein, Matthias ; Cremers, Martijn ; Gandhi, Priyank.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:2:p:412-435.

    Full description at Econpapers || Download paper

  54. Mutual fund flows and fluctuations in credit and business cycles. (2021). Goldstein, Itay ; Choi, Jaewon ; Ben-Rephael, Azi.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:139:y:2021:i:1:p:84-108.

    Full description at Econpapers || Download paper

  55. Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

    Full description at Econpapers || Download paper

  56. Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

    Full description at Econpapers || Download paper

  57. Misclassification errors in labor force statuses and the early identification of economic recessions. (2021). Hu, Yingyao ; Feng, Shuaizhang ; Sun, Jiandong.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:75:y:2021:i:c:s1049007821000488.

    Full description at Econpapers || Download paper

  58. Text-based recession probabilities. (2021). Minesso Ferrari, Massimo ; le Mezo, Helena.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20212516.

    Full description at Econpapers || Download paper

  59. AN ESTIMATED DSGE MODEL WITH LEARNING BASED ON TERM STRUCTURE INFORMATION. (2021). Vázquez, Jesús ; Aguilar, Pablo ; Vazquez, Jesus.
    In: Macroeconomic Dynamics.
    RePEc:cup:macdyn:v:25:y:2021:i:7:p:1635-1665_1.

    Full description at Econpapers || Download paper

  60. Rigid High Street, Flexible Wall Street. (2021). Sustek, Roman.
    In: Discussion Papers.
    RePEc:cfm:wpaper:2122.

    Full description at Econpapers || Download paper

  61. The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium. (2021). Ibarra-Ramirez, Raul .
    In: Working Papers.
    RePEc:bdm:wpaper:2021-07.

    Full description at Econpapers || Download paper

  62. Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases. (2021). Zhang, XU.
    In: Staff Working Papers.
    RePEc:bca:bocawp:21-54.

    Full description at Econpapers || Download paper

  63. Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno.
    In: Staff Working Papers.
    RePEc:bca:bocawp:21-14.

    Full description at Econpapers || Download paper

  64. Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina.
    In: Economic Thought journal.
    RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

    Full description at Econpapers || Download paper

  65. A Multicountry Model of the Term Structures of Interest Rates with a GVAR. (2021). Moura, Rubens ; Candelon, Bertrand.
    In: LIDAM Discussion Papers LFIN.
    RePEc:ajf:louvlf:2021007.

    Full description at Econpapers || Download paper

  66. .

    Full description at Econpapers || Download paper

  67. Macroeconomic determinants of foreign exchange rate exposure. (2020). Fuchs, Fabian U.
    In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe.
    RePEc:zbw:upadbr:b4220.

    Full description at Econpapers || Download paper

  68. Misclassification-errors-adjusted Sahm Rule for Early Identification of Economic Recession. (2020). Sun, Jiandong ; Feng, Shuaizhang.
    In: GLO Discussion Paper Series.
    RePEc:zbw:glodps:523.

    Full description at Econpapers || Download paper

  69. The U.S. term structure and return volatility in emerging stock markets. (2020). Demirer, Riza ; Yuksel, Aydin.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09511-x.

    Full description at Econpapers || Download paper

  70. Business cycle dating and forecasting with real-time Swiss GDP data. (2020). Wegmueller, Philipp ; Glocker, Christian.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01666-9.

    Full description at Econpapers || Download paper

  71. Low Interest Rates, Policy, and the Predictive Content of the Yield Curve. (2020). Haubrich, Joseph ; Bordo, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27691.

    Full description at Econpapers || Download paper

  72. Financial Vulnerability and Risks to Growth in Emerging Markets. (2020). Surti, Jay ; Acharya, Viral ; Bhadury, Soumya.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27411.

    Full description at Econpapers || Download paper

  73. Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-4.

    Full description at Econpapers || Download paper

  74. The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?. (2020). Ozturk, Huseyin.
    In: Empirica.
    RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9405-y.

    Full description at Econpapers || Download paper

  75. Misclassification-Errors-Adjusted Sahm Rule for Early Identification of Economic Recession. (2020). Sun, Jiandong ; Feng, Shuaizhang.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp13168.

    Full description at Econpapers || Download paper

  76. The Sources of Fiscal Fluctuations. (2020). Ricci, Luca ; Werner, Alejandro M ; Levy, Antoine.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2020/220.

    Full description at Econpapers || Download paper

  77. Misclassification-Errors-Adjusted Sahm Rule for Early Identification of Economic Recession. (2020). Sun, Jiandong ; Feng, Shuaizhang.
    In: Working Papers.
    RePEc:hka:wpaper:2020-029.

    Full description at Econpapers || Download paper

  78. Fuel up with OATmeals! The case of the French nominal yield curve. (2020). Moraux, Franck ; Grishchenko, Olesya ; Pakulyak, Olga.
    In: Post-Print.
    RePEc:hal:journl:halshs-02980563.

    Full description at Econpapers || Download paper

  79. An Efficient Deep Learning Based Model to Predict Interest Rate Using Twitter Sentiment. (2020). Latif, Khalid ; Afzal, Sitara ; Yasir, Muhammad ; Song, Oh-Young ; Shahzad, Farhan ; Malik, Nazish Yameen ; Chaudhary, Ghulam Mujtaba.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:4:p:1660-:d:324085.

    Full description at Econpapers || Download paper

  80. Does the Yield Curve Predict Output?. (2020). Haubrich, Joseph.
    In: Working Papers.
    RePEc:fip:fedcwq:89008.

    Full description at Econpapers || Download paper

  81. Low Interest Rates, Policy, and the Predictive Content of the Yield Curve. (2020). Haubrich, Joseph ; Bordo, Michael.
    In: Working Papers.
    RePEc:fip:fedcwq:88522.

    Full description at Econpapers || Download paper

  82. The Credit Spread Curve Distribution and Economic Fluctuations in Japan. (2020). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto.
    In: Discussion papers.
    RePEc:eti:dpaper:20030.

    Full description at Econpapers || Download paper

  83. Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

    Full description at Econpapers || Download paper

  84. The yield spreads ability to forecast economic activity: What have we learned after 30 years of studies?. (2020). Papadamou, Stephanos ; Siriopoulos, Costas ; Evgenidis, Anastasios.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:106:y:2020:i:c:p:221-232.

    Full description at Econpapers || Download paper

  85. High-frequency credit spread information and macroeconomic forecast revision. (2020). Ka, Kook ; Ioannidis, Christos ; Deschamps, Bruno.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:358-372.

    Full description at Econpapers || Download paper

  86. No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan. (2020). Takaoka, Sumiko ; Okimoto, Tatsuyoshi.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300290.

    Full description at Econpapers || Download paper

  87. Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. (2020). Phillips, Peter ; Henry, Todd .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2259.

    Full description at Econpapers || Download paper

  88. The Sources of Fiscal Fluctuations. (2020). Ricci, Luca ; Werner, Alejandro ; Levy, Antoine.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15450.

    Full description at Econpapers || Download paper

  89. Financial Vulnerability and Risks to Growth in Emerging Markets. (2020). Acharya, Viral ; Surti, Jay ; Bhadury, Soumya.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14962.

    Full description at Econpapers || Download paper

  90. From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand.
    In: The World Economy.
    RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

    Full description at Econpapers || Download paper

  91. Term Premium Dynamics and its Determinants: The Mexican Case. (2020). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar-Argaez, Ana.
    In: Working Papers.
    RePEc:bdm:wpaper:2020-18.

    Full description at Econpapers || Download paper

  92. Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra.
    In: Working Papers.
    RePEc:bdm:wpaper:2020-01.

    Full description at Econpapers || Download paper

  93. The US Term Structure and Return Volatility in Global REIT Markets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Yuksel, Aydin.
    In: International Association of Decision Sciences.
    RePEc:ahq:wpaper:v:24:y:2020:i:3:p:84-109.

    Full description at Econpapers || Download paper

  94. Does maturity matter? The case of treasury futures volume. (2019). Huang, Kershen ; Chichernea, Doina ; Petkevich, Alex.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1301-1321.

    Full description at Econpapers || Download paper

  95. The Topology of Time Series: Improving Recession Forecasting from Yield Spreads. (2019). Rudkin, Simon ; Dlotko, Pawel.
    In: Working Papers.
    RePEc:swn:wpaper:2019-02.

    Full description at Econpapers || Download paper

  96. The Origins and Effects of Macroeconomic Uncertainty. (2019). Tirskikh, Mikhail ; Kung, Howard ; Bianchi, Francesco.
    In: 2019 Meeting Papers.
    RePEc:red:sed019:245.

    Full description at Econpapers || Download paper

  97. Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B.
    In: Economic Review.
    RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93.

    Full description at Econpapers || Download paper

  98. Pricing Risks Across Currency Denominations. (2019). Maurer, Thomas ; Tran, Ngoc-Khanh ; To, Thuy-Duong .
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:11:p:5308-5336.

    Full description at Econpapers || Download paper

  99. The Real-Time Information Content of Financial Stress and Bank Lending on European Business Cycles. (2019). Theobald, Thomas ; Ruzicka, Josef ; Fiedler, Jakob.
    In: IMK Working Paper.
    RePEc:imk:wpaper:198-2019.

    Full description at Econpapers || Download paper

  100. Growth at Risk: Concept and Application in IMF Country Surveillance. (2019). Lafarguette, Romain ; Alter, Adrian ; Wang, Changchun ; Feng, Alan Xiaochen ; Jeasakul, Phakawa ; Elekdag, Selim ; Prasad, Ananthakrishnan.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2019/036.

    Full description at Econpapers || Download paper

  101. Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-02359503.

    Full description at Econpapers || Download paper

  102. Information in Yield Spread Trades. (2019). Park, Yang-Ho.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2019-25.

    Full description at Econpapers || Download paper

  103. A re-evaluation of the term spread as a leading indicator. (2019). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:64:y:2019:i:c:p:476-492.

    Full description at Econpapers || Download paper

  104. Time-varying predictive content of financial variables in forecasting GDP growth in the G-7 countries. (2019). Vataja, Juuso ; Kuosmanen, Petri.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:71:y:2019:i:c:p:211-222.

    Full description at Econpapers || Download paper

  105. Recession forecasting using Bayesian classification. (2019). Hall, Aaron Smalter ; Davig, Troy.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:3:p:848-867.

    Full description at Econpapers || Download paper

  106. The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data. (2019). GUPTA, RANGAN ; Wohar, Mark E ; Volkman, David A ; Risse, Marian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:391-405.

    Full description at Econpapers || Download paper

  107. Predictive ability of financial variables in changing economic circumstances. (2019). Vataja, Juuso ; Rahko, Jaana ; Kuosmanen, Petri.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:37-47.

    Full description at Econpapers || Download paper

  108. Modelling yields at the lower bound through regime shifts. (2019). Hördahl, Peter ; Tristani, Oreste ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192320.

    Full description at Econpapers || Download paper

  109. Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2019). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:660.

    Full description at Econpapers || Download paper

  110. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1916.

    Full description at Econpapers || Download paper

  111. Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1932.

    Full description at Econpapers || Download paper

  112. Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model. (2018). Nyberg, Henri.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:37:y:2018:i:1:p:1-15.

    Full description at Econpapers || Download paper

  113. Macroeconomic shocks and evolution of term structure of interest rate: A dynamic latent factor approach. (2018). Hatekar, Neeraj ; Singh, Sanjay.
    In: Indian Economic Review.
    RePEc:spr:inecre:v:53:y:2018:i:1:d:10.1007_s41775-018-0019-x.

    Full description at Econpapers || Download paper

  114. Forecasting Chinese Business Cycle Using Long-term Interest Rate Comovements. (2018). Lee, Kiryoung ; Jo, Chanik.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2018:i:2:p:118-134.

    Full description at Econpapers || Download paper

  115. Real-time forecasting with macro-finance models in the presence of a zero lower bound. (2018). Krippner, Leo ; Lewis, Michelle.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2018/4.

    Full description at Econpapers || Download paper

  116. The Origins and Effects of Macroeconomic Uncertainty. (2018). Bianchi, Francesco ; Tirskikh, Mikhail ; Kung, Howard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25386.

    Full description at Econpapers || Download paper

  117. Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard.
    In: Discussion Papers.
    RePEc:kud:kuiedp:1812.

    Full description at Econpapers || Download paper

  118. Directional Predictability of Daily Stock Returns. (2018). Leschinski, Christian ; Becker, Janis.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-624.

    Full description at Econpapers || Download paper

  119. Real Estate Soars and Financial Crises: Recent Stories. (2018). Sohn, Sungbin ; Song, Yena ; Jang, Hanwool ; Ahn, Kwangwon.
    In: Sustainability.
    RePEc:gam:jsusta:v:10:y:2018:i:12:p:4559-:d:187353.

    Full description at Econpapers || Download paper

  120. Using the Entire Yield Curve in Forecasting Output and Inflation. (2018). Li, Canlin ; Lee, Tae Hwy ; Hillebrand, Eric ; Huang, Huiyu .
    In: Econometrics.
    RePEc:gam:jecnmx:v:6:y:2018:i:3:p:40-:d:166513.

    Full description at Econpapers || Download paper

  121. Why Does the Yield-Curve Slope Predict Recessions?. (2018). Chyruk, Olena ; Benzoni, Luca ; Kelley, David.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2018-15.

    Full description at Econpapers || Download paper

  122. Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-Éric ; Theoret, Raymond .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675.

    Full description at Econpapers || Download paper

  123. The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. (2018). Lange, Ronald Henry.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:57:y:2018:i:c:p:164-182.

    Full description at Econpapers || Download paper

  124. Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets. (2018). Sowmya, Subramaniam ; Prasanna, Krishna.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:54:y:2018:i:c:p:178-192.

    Full description at Econpapers || Download paper

  125. Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

    Full description at Econpapers || Download paper

  126. A theory of intermediated investment with hyperbolic discounting investors. (2018). Gao, Feng ; He, Ping ; Lex, A ; Alex, .
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:177:y:2018:i:c:p:70-100.

    Full description at Econpapers || Download paper

  127. The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

    Full description at Econpapers || Download paper

  128. Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

    Full description at Econpapers || Download paper

  129. Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80.

    Full description at Econpapers || Download paper

  130. The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations. (2018). Lange, Ronald Henry.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:44:y:2018:i:c:p:80-91.

    Full description at Econpapers || Download paper

  131. The predictive power of the yield spread for future economic expansions: Evidence from a new approach. (2018). Wohar, Mark ; Gebka, Bartosz.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:181-195.

    Full description at Econpapers || Download paper

  132. From carry trades to curvy trades. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20182149.

    Full description at Econpapers || Download paper

  133. The Slope of the Term Structure and Recessions: The Pre-Fed Evidence, 1857-1913. (2018). Stuart, Rebecca ; Gerlach, Stefan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13013.

    Full description at Econpapers || Download paper

  134. Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

    Full description at Econpapers || Download paper

  135. Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M.
    In: BIS Papers.
    RePEc:bis:bisbps:95.

    Full description at Econpapers || Download paper

  136. .

    Full description at Econpapers || Download paper

  137. Asset prices and macroeconomic outcomes : a survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:8259.

    Full description at Econpapers || Download paper

  138. The shadow rate as a predictor of real activity and inflation: evidence from a data-rich environment. (2017). Hannikainen, Jari.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:24:y:2017:i:8:p:527-535.

    Full description at Econpapers || Download paper

  139. Evaluating a leading indicator: an application—the term spread. (2017). Stekler, Herman O ; Ye, Tianyu .
    In: Empirical Economics.
    RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1200-7.

    Full description at Econpapers || Download paper

  140. The Information Content of the Term Structure of Interest Rates in Emerging Economies: The Case of Thailand. (2017). Paweenawat, Archawa.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:16:y:2017:i:2:p:136-150.

    Full description at Econpapers || Download paper

  141. The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data. (2017). Wohar, Mark ; GUPTA, RANGAN ; Volkman, David A ; Risse, Marian.
    In: Working Papers.
    RePEc:pre:wpaper:201755.

    Full description at Econpapers || Download paper

  142. Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1718.

    Full description at Econpapers || Download paper

  143. The predictive ability of a risk-adjusted yield spread for economic activity in Europe. (2017). Guender, Alfred ; Tolan, Bernard .
    In: Empirica.
    RePEc:kap:empiri:v:44:y:2017:i:1:d:10.1007_s10663-015-9309-z.

    Full description at Econpapers || Download paper

  144. The return of financial variables in forecasting GDP growth in the G-7. (2017). Vataja, Juuso ; Kuosmanen, Petri.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9212-7.

    Full description at Econpapers || Download paper

  145. Interconnectedness of Global Systemically-Important Banks and Insurers. (2017). Xu, Tengteng ; Malik, Sheheryar.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2017/210.

    Full description at Econpapers || Download paper

  146. The term structure of expectations and bond yields. (2017). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard.
    In: Staff Reports.
    RePEc:fip:fednsr:775.

    Full description at Econpapers || Download paper

  147. No-arbitrage Determinants of Japanese Government Bond Yield and Credit Spread Curves. (2017). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto.
    In: Discussion papers.
    RePEc:eti:dpaper:17104.

    Full description at Econpapers || Download paper

  148. Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2017-76.

    Full description at Econpapers || Download paper

  149. What does the bond yield curve tell us about Tunisian economic activity?. (2017). Sekouhi, Hayfa ; Boukhatem, Jamel.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:295-303.

    Full description at Econpapers || Download paper

  150. Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach. (2017). Evgenidis, Anastasios ; SIRIOPOULOS, COSTAS ; Tsagkanos, Athanasios.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:267-279.

    Full description at Econpapers || Download paper

  151. The term structure of credit spreads and business cycle in Japan. (2017). Okimoto, Tatsuyoshi ; Takaoka, Sumiko.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:45:y:2017:i:c:p:27-36.

    Full description at Econpapers || Download paper

  152. International house price cycles, monetary policy and credit. (2017). Bauer, Gregory.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114.

    Full description at Econpapers || Download paper

  153. The market price of risk of the variance term structure. (2017). Dotsis, George.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

    Full description at Econpapers || Download paper

  154. When does the yield curve contain predictive power? Evidence from a data-rich environment. (2017). Hannikainen, Jari.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:1044-1064.

    Full description at Econpapers || Download paper

  155. Rethinking cointegration and the expectation hypothesis of the term structure. (2017). Li, Jing ; Davis, George.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:44:y:2017:i:c:p:177-189.

    Full description at Econpapers || Download paper

  156. Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12460.

    Full description at Econpapers || Download paper

  157. Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0655.

    Full description at Econpapers || Download paper

  158. Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: BIS Working Papers.
    RePEc:bis:biswps:676.

    Full description at Econpapers || Download paper

  159. The central bank as shaper and observer of events: The case of the yield spread. (2016). Florio, Anna.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
    RePEc:wly:canjec:v:49:y:2016:i:1:p:320-346.

    Full description at Econpapers || Download paper

  160. When does the yield curve contain predictive power? Evidence from a data-rich environment. (2016). Hännikäinen, Jari ; Hannikainen, Jari.
    In: Working Papers.
    RePEc:tam:wpaper:1603.

    Full description at Econpapers || Download paper

  161. The analysis of correlation between the GDP and the Gross Income. (2016). Cristina, SACALA ; Anghelache, Constantin.
    In: Romanian Statistical Review Supplement.
    RePEc:rsr:supplm:v:64:y:2016:i:9:p:88-93.

    Full description at Econpapers || Download paper

  162. Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data. (2016). Wohar, Mark ; Plakandaras, Vasilios ; GUPTA, RANGAN ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:201685.

    Full description at Econpapers || Download paper

  163. Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; Gil-Alana, Luis ; Christou, Christina ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201680.

    Full description at Econpapers || Download paper

  164. The Term Premium as a Leading Macroeconomic Indicator. (2016). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis.
    In: Working Papers.
    RePEc:pre:wpaper:201613.

    Full description at Econpapers || Download paper

  165. The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment. (2016). Hännikäinen, Jari ; Hannikainen, Jari.
    In: MPRA Paper.
    RePEc:pra:mprapa:71432.

    Full description at Econpapers || Download paper

  166. When does the yield curve contain predictive power? Evidence from a data-rich environment. (2016). Hännikäinen, Jari ; Hannikainen, Jari.
    In: MPRA Paper.
    RePEc:pra:mprapa:70489.

    Full description at Econpapers || Download paper

  167. Reputation Cycles. (2016). Prat, Julien ; Jovanovic, Boyan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22703.

    Full description at Econpapers || Download paper

  168. A plausible model of yield curve dynamics. (2016). Magnus, Gideon.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:30:y:2016:i:2:d:10.1007_s11408-016-0265-9.

    Full description at Econpapers || Download paper

  169. Time-varying inflation risk and the cross section of stock returns. (2016). Szymanowska, Marta ; Duarte, Fernando.
    In: Staff Reports.
    RePEc:fip:fednsr:621.

    Full description at Econpapers || Download paper

  170. Recession forecasting using Bayesian classification. (2016). Smalter Hall, Aaron ; Davig, Troy.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp16-06.

    Full description at Econpapers || Download paper

  171. Do economic variables improve bond return volatility forecasts?. (2016). Chao, Shih-Wei .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:46:y:2016:i:c:p:10-26.

    Full description at Econpapers || Download paper

  172. A macro-finance term structure model with multivariate stochastic volatility. (2016). Laurini, Márcio ; Caldeira, Joo F.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:44:y:2016:i:c:p:68-90.

    Full description at Econpapers || Download paper

  173. Can credit spreads help predict a yield curve?. (2016). Abdymomunov, Azamat ; Jeong, KI ; Ho, Kyu.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:64:y:2016:i:c:p:39-61.

    Full description at Econpapers || Download paper

  174. A dynamic factor model of the yield curve components as a predictor of the economy. (2016). Senyuz, Zeynep ; Chauvet, Marcelle.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:324-343.

    Full description at Econpapers || Download paper

  175. Estimating dynamic equilibrium models using mixed frequency macro and financial data. (2016). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:1:p:116-137.

    Full description at Econpapers || Download paper

  176. What does money and credit tell us about real activity in the United States?. (2016). Seitz, Franz ; Albuquerque, Bruno ; Baumann, Ursel.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:328-347.

    Full description at Econpapers || Download paper

  177. Forecasting economic activity from yield curve factors. (2016). Tzavalis, Elias ; Argyropoulos, Efthymios .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:36:y:2016:i:c:p:293-311.

    Full description at Econpapers || Download paper

  178. Change Detection and the Causal Impact of the Yield Curve. (2016). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2058.

    Full description at Econpapers || Download paper

  179. Reputation Cycles. (2016). Prat, Julien ; Jovanovic, Boyan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11543.

    Full description at Econpapers || Download paper

  180. The central bank as shaper and observer of events: The case of the yield spread. (2016). Florio, Anna.
    In: Canadian Journal of Economics.
    RePEc:cje:issued:v:49:y:2016:i:1:p:320-346.

    Full description at Econpapers || Download paper

  181. The Information Content Of Money And Credit For US Activity. (2015). Seitz, Franz ; Albuquerque, Bruno ; Baumann, Ursel.
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113066.

    Full description at Econpapers || Download paper

  182. With or without you: Do financial data help to forecast industrial production?. (2015). Kitlinski, Tobias.
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:558.

    Full description at Econpapers || Download paper

  183. Disentangling the Predictive Power of Term Spreads under Inflation Targeting. (2015). Lee, Ji Young .
    In: International Economic Journal.
    RePEc:taf:intecj:v:29:y:2015:i:3:p:419-450.

    Full description at Econpapers || Download paper

  184. Quantity theory is alive: the role of international portfolio shifts. (2015). Santis, Roberto .
    In: Empirical Economics.
    RePEc:spr:empeco:v:49:y:2015:i:4:p:1401-1430.

    Full description at Econpapers || Download paper

  185. Change Detection and the Casual Impact of the Yield Curve. (2015). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2015_05.

    Full description at Econpapers || Download paper

  186. Prediction of Term Structure with Potentially Misspecified Macro-Finance Models near the Zero Lower Bound. (2015). Iiboshi, Hirokuni ; Chung, Tsz-Kin.
    In: MPRA Paper.
    RePEc:pra:mprapa:85709.

    Full description at Econpapers || Download paper

  187. Monetary Policy, Bond Risk Premia, and the Economy. (2015). Ireland, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21576.

    Full description at Econpapers || Download paper

  188. Yield Curve and Recession Forecasting in a Machine Learning Framework. (2015). Papadimitriou, Theophilos ; Gogas, Periklis ; Matthaiou, Maria ; Chrysanthidou, Efthymia .
    In: Computational Economics.
    RePEc:kap:compec:v:45:y:2015:i:4:p:635-645.

    Full description at Econpapers || Download paper

  189. Financial variables and economic activity in the Nordic countries. (2015). Kuosmanen, Petri ; Vataja, Juuso ; Nabulsi, Nasib .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:368-379.

    Full description at Econpapers || Download paper

  190. Monetary policy, bond risk premia, and the economy. (2015). Ireland, Peter.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:76:y:2015:i:c:p:124-140.

    Full description at Econpapers || Download paper

  191. A regime-switching Nelson–Siegel term structure model of the macroeconomy. (2015). Zhu, Xiaoneng ; RAHMAN, Shahidur .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:44:y:2015:i:c:p:1-17.

    Full description at Econpapers || Download paper

  192. Out-of-sample bond risk premium predictions: A global common factor. (2015). Zhu, Xiaoneng .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:51:y:2015:i:c:p:155-173.

    Full description at Econpapers || Download paper

  193. Macroeconomic linkages between monetary policy and the term structure of interest rates. (2015). Kung, Howard.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:115:y:2015:i:1:p:42-57.

    Full description at Econpapers || Download paper

  194. Stock market dispersion, the business cycle and expected factor returns. (2015). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:265-279.

    Full description at Econpapers || Download paper

  195. Real term structure forecasts of consumption growth. (2015). Tzavalis, Elias ; Argyropoulos, Efthymios .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:208-222.

    Full description at Econpapers || Download paper

  196. Pricing, dynamics, and determinants of illiquidity risks: International evidence. (2015). Saad, Mohsen ; Samet, Anis.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:23:y:2015:i:c:p:124-147.

    Full description at Econpapers || Download paper

  197. What does financial volatility tell us about macroeconomic fluctuations?. (2015). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:52:y:2015:i:c:p:340-360.

    Full description at Econpapers || Download paper

  198. The information content of money and credit for US activity. (2015). Seitz, Franz ; Albuquerque, Bruno ; Baumann, Ursel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151803.

    Full description at Econpapers || Download paper

  199. The information content of money and credit for US activity. (2015). Albuquerque, Bruno ; Seitz, Franz ; Baumann, Ursel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141803.

    Full description at Econpapers || Download paper

  200. The role of term structure in an estimated DSGE model with learning. (2015). Vázquez, Jesús ; Aguilar, Pablo ; Vazquez, Jesus.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:2015007.

    Full description at Econpapers || Download paper

  201. The effects of monetary policy regime shifts on the term structure of interest rates. (2015). Azamat, Abdymomunov ; Ho, Kang Kyu .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:19:y:2015:i:2:p:183-207:n:1.

    Full description at Econpapers || Download paper

  202. The Sovereign Yield Curve and the Macroeconomy in China. (2015). Yan, Yifeng.
    In: Pacific Economic Review.
    RePEc:bla:pacecr:v:20:y:2015:i:3:p:415-441.

    Full description at Econpapers || Download paper

  203. The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Hillebrand, Eric ; Boldrini, Lorenzo .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-39.

    Full description at Econpapers || Download paper

  204. Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis. (2014). Vataja, Juuso ; Kuosmanen, Petri.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:23:y:2014:i:2:p:90-97.

    Full description at Econpapers || Download paper

  205. The predictive power of yield spread: evidence from wavelet analysis. (2014). Dar, Arif ; Samantaraya, Amaresh ; Shah, Firdous .
    In: Empirical Economics.
    RePEc:spr:empeco:v:46:y:2014:i:3:p:887-901.

    Full description at Econpapers || Download paper

  206. Macroeconomic linkages between monetary policy and the term structure of interest rates. (2014). Kung, Howard.
    In: 2014 Meeting Papers.
    RePEc:red:sed014:560.

    Full description at Econpapers || Download paper

  207. Bond Market Exposures to Macroeconomic and Monetary Policy Risks. (2014). Song, Dongho.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:14-017.

    Full description at Econpapers || Download paper

  208. Investors and Central Banks Uncertainty Embedded in Index Options. (2014). David, Alexander ; Veronesi, Pietro.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:27:y:2014:i:6:p:1661-1716..

    Full description at Econpapers || Download paper

  209. Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework. (2014). Pizzinga, Adrian ; Ibrahim, Taofik Mohammed ; Vereda, Luciano ; Kubrusly, Jessica ; Lopes, Helio.
    In: Journal of Reviews on Global Economics.
    RePEc:lif:jrgelg:v:3:y:2014:p:377-393.

    Full description at Econpapers || Download paper

  210. Forecasting market turbulence using regime-switching models. (2014). Hauptmann, Johannes ; Ramsauer, Franz ; Hoppenkamps, Anja ; Min, Aleksey ; Zagst, Rudi.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:28:y:2014:i:2:p:139-164.

    Full description at Econpapers || Download paper

  211. Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis. (2014). Vataja, Juuso ; Kuosmanen, Petri .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:2:p:90-97.

    Full description at Econpapers || Download paper

  212. The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. (2014). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:31:y:2014:i:c:p:21-33.

    Full description at Econpapers || Download paper

  213. Monetary policy regimes: Implications for the yield curve and bond pricing. (2014). De Giorgi, Enrico ; Audrino, Francesco ; Filipova, Kameliya .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:113:y:2014:i:3:p:427-454.

    Full description at Econpapers || Download paper

  214. Stress testing interest rate risk exposure. (2014). Abdymomunov, Azamat ; Gerlach, Jeffrey .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:287-301.

    Full description at Econpapers || Download paper

  215. Predicting recessions with a composite real-time dynamic probit model. (2014). Theobald, Thomas ; Proao, Christian R..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:898-917.

    Full description at Econpapers || Download paper

  216. Macro determinants of volatility and volatility spillover in energy markets. (2014). Ramirez, Octavio ; Karali, Berna.
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:c:p:413-421.

    Full description at Econpapers || Download paper

  217. Identifying risks in emerging market sovereign and corporate bond spreads. (2014). Zinna, Gabriele.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:20:y:2014:i:c:p:1-22.

    Full description at Econpapers || Download paper

  218. A predictability test for a small number of nested models. (2014). Moon, Hyungsik ; Hubrich, Kirstin ; Granziera, Eleonora.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:182:y:2014:i:1:p:174-185.

    Full description at Econpapers || Download paper

  219. The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach. (2014). Djuranovik, Leslie .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:34:y:2014:i:c:p:1-15.

    Full description at Econpapers || Download paper

  220. Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data. (2014). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5030.

    Full description at Econpapers || Download paper

  221. Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks. (2014). Jeong, KI ; Ho, Kyu ; Abdymomunov, Azamat.
    In: Working Papers.
    RePEc:bok:wpaper:1419.

    Full description at Econpapers || Download paper

  222. Monetary Policy, Bond Risk Premia, and the Economy. (2014). Ireland, Peter.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:852.

    Full description at Econpapers || Download paper

  223. Specification Analysis of International Treasury Yield Curve Factors. (2014). Pegoraro, Fulvio ; SIEGEL, A. F. ; Pezzoli, Tiozzo L..
    In: Working papers.
    RePEc:bfr:banfra:490.

    Full description at Econpapers || Download paper

  224. What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?. (2014). Diez de los Rios, Antonio ; Bauer, Gregory ; Alquist, Ron.
    In: Staff Working Papers.
    RePEc:bca:bocawp:14-42.

    Full description at Econpapers || Download paper

  225. .

    Full description at Econpapers || Download paper

  226. An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility. (2013). Niu, Linlin.
    In: Working Papers.
    RePEc:wyi:wpaper:002015.

    Full description at Econpapers || Download paper

  227. Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set. (2013). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: Working Papers.
    RePEc:wyi:wpaper:002005.

    Full description at Econpapers || Download paper

  228. The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. (2013). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Fernandez-Rodriguez, Fernando.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1319.

    Full description at Econpapers || Download paper

  229. Financial integration and the term structure of interest rates. (2013). Traczyk, Adam .
    In: Empirical Economics.
    RePEc:spr:empeco:v:45:y:2013:i:3:p:1267-1305.

    Full description at Econpapers || Download paper

  230. Term structure information and bond strategies. (2013). Agyei-Ampomah, Sam ; Gonzalez, Maria O ; Skinner, Frank .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:41:y:2013:i:1:p:53-74.

    Full description at Econpapers || Download paper

  231. Regime-switching measure of systemic financial stress. (2013). Abdymomunov, Azamat.
    In: Annals of Finance.
    RePEc:kap:annfin:v:9:y:2013:i:3:p:455-470.

    Full description at Econpapers || Download paper

  232. What does financial volatility tell us about macroeconomic fluctuations?. (2013). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-61.

    Full description at Econpapers || Download paper

  233. Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries. (2013). Koukouritakis, Minoas.
    In: Research in Economics.
    RePEc:eee:reecon:v:67:y:2013:i:3:p:243-258.

    Full description at Econpapers || Download paper

  234. Alternative econometric implementations of multi-factor models of the U.S. financial markets. (2013). Ravazzolo, Francesco ; Guidolin, Massimo ; Tortora, Andrea Donato .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:2:p:87-111.

    Full description at Econpapers || Download paper

  235. Inflation ambiguity and the term structure of U.S. Government bonds. (2013). Ulrich, Maxim .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:295-309.

    Full description at Econpapers || Download paper

  236. Macroeconomic determinants of stock volatility and volatility premiums. (2013). Mele, Antonio ; Corradi, Valentina ; Distaso, Walter .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:203-220.

    Full description at Econpapers || Download paper

  237. Predicting output using the entire yield curve. (2013). Abdymomunov, Azamat .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:37:y:2013:i:c:p:333-344.

    Full description at Econpapers || Download paper

  238. Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields. (2013). Koeda, Junko.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:29:y:2013:i:c:p:170-188.

    Full description at Econpapers || Download paper

  239. Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. (2013). Singleton, Kenneth ; Joslin, Scott .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:3:p:604-622.

    Full description at Econpapers || Download paper

  240. Inventory investment and the cost of capital. (2013). Jones, Christopher S. ; Tuzel, Selale .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:3:p:557-579.

    Full description at Econpapers || Download paper

  241. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth. (2013). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:389-402.

    Full description at Econpapers || Download paper

  242. Changes in predictive ability with mixed frequency data. (2013). Galvão, Ana ; Galvo, Ana Beatriz.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:395-410.

    Full description at Econpapers || Download paper

  243. International Bond Risk Premia. (2013). Hasseltoft, Henrik ; Dahlquist, Magnus.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:90:y:2013:i:1:p:17-32.

    Full description at Econpapers || Download paper

  244. U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis. (2013). Mollick, Andre ; Assefa, Tibebe Abebe .
    In: Energy Economics.
    RePEc:eee:eneeco:v:36:y:2013:i:c:p:1-18.

    Full description at Econpapers || Download paper

  245. Term structure dynamics with macro-factors using high frequency data. (2013). Kim, Hwagyun ; Park, Hail.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:78-93.

    Full description at Econpapers || Download paper

  246. Sovereign default risk premia: Evidence from the default swap market. (2013). Zinna, Gabriele.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:15-35.

    Full description at Econpapers || Download paper

  247. Testing the predictive power of the term structure without data snooping bias. (2013). Kuan, Chung-Ming ; Kao, Yi-Cheng ; Chen, Shikuan .
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:3:p:546-549.

    Full description at Econpapers || Download paper

  248. Forecasting the yield curve and the role of macroeconomic information in Turkey. (2013). Kaya, Huseyin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:1-7.

    Full description at Econpapers || Download paper

  249. A predictability test for a small number of nested models. (2013). Moon, Hyungsik ; Hubrich, Kirstin ; Granziera, Eleonora.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131580.

    Full description at Econpapers || Download paper

  250. Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields. (2013). Koeda, Junko.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf303.

    Full description at Econpapers || Download paper

  251. The Centre Matters for the Periphery of Europe: The Predictive Ability of a GZ-Type Spread for Economic Activity in Europe. (2013). Guender, Alfred ; Tolan, Bernard .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/29.

    Full description at Econpapers || Download paper

  252. Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product. (2013). McSharry, Patrick ; Siddharth, Arora ; McSharry Patrick E., ; Little Max A., .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:17:y:2013:i:4:p:395-420:n:3.

    Full description at Econpapers || Download paper

  253. A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve. (2013). Kaminska, Iryna.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:75:y:2013:i:5:p:680-704.

    Full description at Econpapers || Download paper

  254. On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case. (2013). Kaya, Huseyin.
    In: Working Papers.
    RePEc:bae:wpaper:010.

    Full description at Econpapers || Download paper

  255. Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set. (2012). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:31:y:2012:i:2:p:124-156.

    Full description at Econpapers || Download paper

  256. The yield curve as a leading indicator in economic forecasting in the U.K.. (2012). Zhang, Dalu ; Moffatt, Peter.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
    RePEc:uea:aepppr:2012_35.

    Full description at Econpapers || Download paper

  257. Dynamics of time-varying volatility in the dry bulk and tanker freight markets. (2012). Wambach, Martin ; Drobetz, Wolfgang ; Richter, Tim .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:16:p:1367-1384.

    Full description at Econpapers || Download paper

  258. GDP trend deviations and the yield spread: the case of eight E.U. countries. (2012). pragidis, ioannis ; Gogas, Periklis.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:1:p:226-237.

    Full description at Econpapers || Download paper

  259. Core and `Crust: Consumer Prices and the Term Structure of Interest Rates. (2012). Benzoni, Luca ; Ajello, Andrea ; Chyruk, Olena .
    In: 2012 Meeting Papers.
    RePEc:red:sed012:922.

    Full description at Econpapers || Download paper

  260. Should macroeconomic forecasters use daily financial data and how?. (2012). Kourtellos, Andros ; Ghysels, Eric ; Andreou, Elena.
    In: 2012 Meeting Papers.
    RePEc:red:sed012:1196.

    Full description at Econpapers || Download paper

  261. Financial innovation, macroeconomic volatility and the great moderation. (2012). Zaghini, Andrea ; Bencivelli, Lorenzo .
    In: MPRA Paper.
    RePEc:pra:mprapa:41263.

    Full description at Econpapers || Download paper

  262. Combining Recession Probability Forecasts from a Dynamic Probit Indicator. (2012). Theobald, Thomas.
    In: IMK Working Paper.
    RePEc:imk:wpaper:89-2012.

    Full description at Econpapers || Download paper

  263. Some Comments on a Macro-Finance Model with Stochastic Volatility. (2012). Laurini, Márcio ; Caldeira, Joo Frois .
    In: IBMEC RJ Economics Discussion Papers.
    RePEc:ibr:dpaper:2012-04.

    Full description at Econpapers || Download paper

  264. News shocks and the slope of the term structure of interest rates. (2012). Otrok, Christopher ; Kurmann, André.
    In: Working Papers.
    RePEc:fip:fedlwp:2012-011.

    Full description at Econpapers || Download paper

  265. Core and Crust: Consumer Prices and the Term Structure of Interest Rates. (2012). Benzoni, Luca ; Ajello, Andrea ; Chyruk, Olena .
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2014-11.

    Full description at Econpapers || Download paper

  266. A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy. (2012). Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-32.

    Full description at Econpapers || Download paper

  267. Changes in bank lending standards and the macroeconomy. (2012). Zakrajsek, Egon ; Driscoll, John ; Bassett, William F. ; Chosak, Mary Beth .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-24.

    Full description at Econpapers || Download paper

  268. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2012). Taboga, Marco ; Pericoli, Marcello.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:22:y:2012:i:1:p:42-65.

    Full description at Econpapers || Download paper

  269. Level, slope, curvature of the sovereign yield curve, and fiscal behaviour. (2012). Martins, Manuel ; Afonso, Antonio ; Martins, Manuel M. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1789-1807.

    Full description at Econpapers || Download paper

  270. Uncovering the US term premium: An alternative route. (2012). Moreno, Antonio ; Gil-Alana, Luis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:4:p:1181-1193.

    Full description at Econpapers || Download paper

  271. The relationship between aggregate managed fund flows and share market returns in Australia. (2012). Wickramanayake, Jayasinghe ; Watson, John.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:451-472.

    Full description at Econpapers || Download paper

  272. Identification and estimation of Gaussian affine term structure models. (2012). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:315-331.

    Full description at Econpapers || Download paper

  273. The yield curve and the macro-economy across time and frequencies. (2012). Martins, Manuel ; Aguiar-Conraria, Luís ; Martins, Manuel M. F., ; Soares, Maria Joana.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:12:p:1950-1970.

    Full description at Econpapers || Download paper

  274. Quantity theory is alive: the role of international portfolio shifts. (2012). De Santis, Roberto A..
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121435.

    Full description at Econpapers || Download paper

  275. The Wealth-Consumption Ratio. (2012). Verdelhan, Adrien ; Van Nieuwerburgh, Stijn ; Lustig, Hanno.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9022.

    Full description at Econpapers || Download paper

  276. Macro-Financial Linkages: evidence from country-specific VARs. (2012). Jeanfils, Philippe ; Guarda, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8875.

    Full description at Econpapers || Download paper

  277. Comments on Qianying Chen, Andrew Filardo, Dong He and Feng Zhus paper The impact of central bank balance sheet policies on the emerging economies. (2012). Batten, Jonathan A ; Szilagyi, Peter G.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:66-17.

    Full description at Econpapers || Download paper

  278. Equity Yields. (2012). koijen, ralph ; Vrugt, Evert B. ; Hueskes, Wouter H. ; Ralph S. J. Koijen, ; van Binsbegen, Jules H..
    In: Working Papers.
    RePEc:bfi:wpaper:2012-007.

    Full description at Econpapers || Download paper

  279. Macro-financial linkages: Evidence from country-specific VARs. (2012). Jeanfils, Philippe ; Guarda, Paolo.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp071.

    Full description at Econpapers || Download paper

  280. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields. (2012). Fontaine, Jean-Sebastien ; Feunou, Bruno.
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-37.

    Full description at Econpapers || Download paper

  281. Anticipating Long-Term Stock Market Volatility. (2012). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0535.

    Full description at Econpapers || Download paper

  282. How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited. (2011). Koeda, Junko.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2011cf784.

    Full description at Econpapers || Download paper

  283. News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models. (2011). Otrok, Christopher ; Kurmann, André.
    In: 2011 Meeting Papers.
    RePEc:red:sed011:426.

    Full description at Econpapers || Download paper

  284. Equity Yields. (2011). van Binsbergen, Jules ; koijen, ralph ; Vrugt, Evert B. ; Hueskes, Wouter .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17416.

    Full description at Econpapers || Download paper

  285. Investors and Central Banks Uncertainty Embedded in Index Options. (2011). David, Alexander ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16764.

    Full description at Econpapers || Download paper

  286. Identification in structural VAR models with different volatility regimes. (2011). .
    In: Departmental Working Papers.
    RePEc:mil:wpdepa:2011-39.

    Full description at Econpapers || Download paper

  287. Information in (and not in) the term structure. (2011). Duffee, Greg.
    In: Economics Working Paper Archive.
    RePEc:jhu:papers:577.

    Full description at Econpapers || Download paper

  288. Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns. (2011). Ravazzolo, Francesco ; Guidolin, Massimo ; Tortora, Andrea Donato .
    In: Working Papers.
    RePEc:igi:igierp:416.

    Full description at Econpapers || Download paper

  289. Information in the Yield Curve: A Macro-Finance Approach. (2011). Lyrio, Marco ; Iania, Leonardo ; Dewachter, Hans.
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_230.

    Full description at Econpapers || Download paper

  290. A Macro-Finance Approach to Exchange Rate Determination. (2011). Tsang, Kwok Ping ; Chen, Yu-Chin .
    In: Working Papers.
    RePEc:hkm:wpaper:012011.

    Full description at Econpapers || Download paper

  291. Revisiting the expectations hypothesis: The Japanese term structure and regime shifts. (2011). Zhu, Xiaoneng .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:3:p:237-249.

    Full description at Econpapers || Download paper

  292. A model of carbon price interactions with macroeconomic and energy dynamics. (2011). Chevallier, Julien.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1295-1312.

    Full description at Econpapers || Download paper

  293. How arbitrage-free is the Nelson-Siegel model?. (2011). Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:393-407.

    Full description at Econpapers || Download paper

  294. A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates. (2011). Ng, David ; LI, HAITAO ; Egorov, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:1:p:55-70.

    Full description at Econpapers || Download paper

  295. Financial flexibility: Do firms prepare for recession?. (2011). Smedema, Adam ; Ang, James .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:17:y:2011:i:3:p:774-787.

    Full description at Econpapers || Download paper

  296. Procyclical Bank Risk-Taking and the Lender of Last Resort. (2011). Mink, Mark.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:301.

    Full description at Econpapers || Download paper

  297. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves. (2011). Renne, Jean-Paul ; Monfort, Alain.
    In: Working Papers.
    RePEc:crs:wpaper:2011-26.

    Full description at Econpapers || Download paper

  298. Retail Credit Premiums and Macroeconomic Developments. (2011). Bruha, Jan.
    In: Occasional Publications - Chapters in Edited Volumes.
    RePEc:cnb:ocpubc:fsr1011/4.

    Full description at Econpapers || Download paper

  299. How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited. (2011). Koeda, Junko.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf237.

    Full description at Econpapers || Download paper

  300. Identifying risks in emerging market sovereign and corporate bond spreads. (2011). Zinna, Gabriele.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0430.

    Full description at Econpapers || Download paper

  301. Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns. (2011). Ravazzolo, Francesco ; Guidolin, Massimo ; Tortora, Andrea Donato .
    In: Working Paper.
    RePEc:bno:worpap:2011_19.

    Full description at Econpapers || Download paper

  302. Credit and liquidity risks in euro area sovereign yield curves. (2011). Renne, Jean-Paul ; Monfort, Alain ; Renne, J-P., .
    In: Working papers.
    RePEc:bfr:banfra:352.

    Full description at Econpapers || Download paper

  303. On the Term Structure of Interest Rates of the Mexican Government. (2011). Garcia-Verdu, Santiago.
    In: Working Papers.
    RePEc:bdm:wpaper:2011-18.

    Full description at Econpapers || Download paper

  304. A Macro-Finance Approach to Exchange Rate Determination. (2010). Tsang, Kwok Ping ; Chen, Yu-Chin .
    In: Working Papers.
    RePEc:vpi:wpaper:e07-19.

    Full description at Econpapers || Download paper

  305. A Macro-Finance Approach to Exchange Rate Determination. (2010). Tsang, Kwok Ping ; Chen, Yu-chin.
    In: Working Papers.
    RePEc:udb:wpaper:uwec-2009-24-r.

    Full description at Econpapers || Download paper

  306. Should macroeconomic forecasters use daily financial data and how?. (2010). Kourtellos, Andros ; Andreou, Elena ; Ghysels, Eric.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:09-2010.

    Full description at Econpapers || Download paper

  307. The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective. (2010). Koeda, Junko ; Kato, Ryo.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf724.

    Full description at Econpapers || Download paper

  308. GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries. (2010). pragidis, ioannis ; Gogas, Periklis.
    In: DUTH Research Papers in Economics.
    RePEc:ris:duthrp:2010_002.

    Full description at Econpapers || Download paper

  309. Does the Interest Risk Premium Predict Housing Prices?. (2010). pragidis, ioannis ; Gogas, Periklis.
    In: DUTH Research Papers in Economics.
    RePEc:ris:duthrp:2010_001.

    Full description at Econpapers || Download paper

  310. Should Macroeconomic Forecasters Use Daily Financial Data and How?. (2010). Kourtellos, Andros ; Andreou, Elena ; Ghysels, Eric.
    In: Working Paper series.
    RePEc:rim:rimwps:42_10.

    Full description at Econpapers || Download paper

  311. News Shocks and the Slope of the Term Structure of Interest Rates. (2010). Otrok, Christopher ; Kurmann, André.
    In: 2010 Meeting Papers.
    RePEc:red:sed010:72.

    Full description at Econpapers || Download paper

  312. QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles. (2010). Nyberg, Henri.
    In: MPRA Paper.
    RePEc:pra:mprapa:23724.

    Full description at Econpapers || Download paper

  313. News Shocks and the Slope of the Term Structure of Interest Rates. (2010). Otrok, Christopher ; Kurmann, André.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1005.

    Full description at Econpapers || Download paper

  314. Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity. (2010). pragidis, ioannis ; Gogas, Periklis ; Chionis, Dionysios.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:16:y:2010:i:1:p:1-10:10.1007/s11294-009-9247-2.

    Full description at Econpapers || Download paper

  315. Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity. (2010). Chionis, Dionisios ; Gogas, Periklis ; Pragidis, Ioannis.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:16:y:2010:i:1:p:1-10.

    Full description at Econpapers || Download paper

  316. Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence. (2010). Yang, Jian ; Wang, Zijun ; Zhou, Yinggang .
    In: Management Science.
    RePEc:inm:ormnsc:v:56:y:2010:i:11:p:2031-2049.

    Full description at Econpapers || Download paper

  317. The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates. (2010). Koeda, Junko ; Kato, Ryo.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:10-e-24.

    Full description at Econpapers || Download paper

  318. Macro-finance models of interest rates and the economy. (2010). Rudebusch, Glenn ; GlennD. Rudebusch, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2010-01.

    Full description at Econpapers || Download paper

  319. Does money matter in inflation forecasting?. (2010). Jones, Barry ; Anderson, Richard ; Kendall, G. ; Tino, P. ; Tepper, J. ; Binner, J. M..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:21:p:4793-4808.

    Full description at Econpapers || Download paper

  320. A reappraisal of the leading indicator properties of the yield curve under structural instability. (2010). Wang, Qingwei ; Schrimpf, Andreas.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:4:p:836-857.

    Full description at Econpapers || Download paper

  321. Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy. (2010). DARRACQ PARIES, Matthieu ; Loublier, Alexis .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101209.

    Full description at Econpapers || Download paper

  322. The euro area Bank Lending Survey matters: empirical evidence for credit and output growth. (2010). Peydro, Jose-Luis ; Maddaloni, Angela ; de Bondt, Gabe ; Scopel, Silvia .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101160.

    Full description at Econpapers || Download paper

  323. The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective. (2010). Koeda, Junko ; Kato, Ryo.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf207.

    Full description at Econpapers || Download paper

  324. Term structure forecasting using macro factors and forecast combination. (2010). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: Working Paper.
    RePEc:bno:worpap:2010_01.

    Full description at Econpapers || Download paper

  325. MACRO-FINANCE MODELS OF INTEREST RATES AND THE ECONOMY. (2010). Rudebusch, Glenn ; GlennD. Rudebusch, .
    In: Manchester School.
    RePEc:bla:manchs:v:78:y:2010:i:s1:p:25-52.

    Full description at Econpapers || Download paper

  326. GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries. (2010). pragidis, ioannis ; Gogas, Periklis.
    In: Papers.
    RePEc:arx:papers:1005.1326.

    Full description at Econpapers || Download paper

  327. Macro?finance VARs and bond risk premia: A caveat. (2009). Taboga, Marco.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:18:y:2009:i:4:p:163-171.

    Full description at Econpapers || Download paper

  328. What Does the Yield Curve Tell Us About Exchange Rate Predictability?. (2009). Tsang, Kwok Ping ; Chen, Yu-chin.
    In: Working Papers.
    RePEc:vpi:wpaper:e07-15.

    Full description at Econpapers || Download paper

  329. What Does the Yield Curve Tell Us About Exchange Rate Predictability?. (2009). Tsang, Kwok Ping ; Chen, Yu-chin.
    In: Working Papers.
    RePEc:udb:wpaper:uwec-2009-04.

    Full description at Econpapers || Download paper

  330. The Dynamics of the Credit Spread and Monetary Policy. (2009). Kim, David.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:8:y:2009:i:2:p:109-131.

    Full description at Econpapers || Download paper

  331. Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets. (2009). Zakrajsek, Egon ; Yankov, Vladimir ; Gilchrist, Simon.
    In: 2009 Meeting Papers.
    RePEc:red:sed009:514.

    Full description at Econpapers || Download paper

  332. Forecasting output growth by the yield curve: the role of structural breaks. (2009). He, Zhongfang.
    In: MPRA Paper.
    RePEc:pra:mprapa:28208.

    Full description at Econpapers || Download paper

  333. A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles. (2009). Senyuz, Zeynep ; Chauvet, Marcelle.
    In: MPRA Paper.
    RePEc:pra:mprapa:15076.

    Full description at Econpapers || Download paper

  334. Predicting European Union recessions in the euro era: The yield curve as a forecasting tool of economic activity. (2009). Gogas, Periklis ; Chionis, Dionysios ; Pragkidis, Ioannis .
    In: MPRA Paper.
    RePEc:pra:mprapa:13911.

    Full description at Econpapers || Download paper

  335. Forecasting New Zealands economic growth using yield curve information. (2009). Thorsrud, Leif ; Krippner, Leo.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2009/18.

    Full description at Econpapers || Download paper

  336. Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets. (2009). Zakrajsek, Egon ; Yankov, Vladimir ; Gilchrist, Simon.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14863.

    Full description at Econpapers || Download paper

  337. Comment on On the Need for a New Approach to Analyzing Monetary Policy. (2009). Cochrane, John .
    In: NBER Chapters.
    RePEc:nbr:nberch:7291.

    Full description at Econpapers || Download paper

  338. A Regime Switching Macro-finance Model of the Term Structure. (2009). RAHMAN, Shahidur ; Xiaoneng, ZHU .
    In: Economic Growth Centre Working Paper Series.
    RePEc:nan:wpaper:0901.

    Full description at Econpapers || Download paper

  339. The Yield Curve as a Predictor and Emerging Economies. (2009). Mehl, Arnaud.
    In: Open Economies Review.
    RePEc:kap:openec:v:20:y:2009:i:5:p:683-716.

    Full description at Econpapers || Download paper

  340. The Role of Financial Variables in Predicting Economic Activity in the Euro Area. (2009). Lombardi, Marco ; Fornari, Fabio ; Espinoza, Raphael A.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/241.

    Full description at Econpapers || Download paper

  341. Futures Contract Rates as Monetary Policy Forecasts. (2009). Nobili, Andrea ; Ferrero, Giuseppe.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2009:q:2:a:4.

    Full description at Econpapers || Download paper

  342. International Interest-Rate Risk Premia in Affine Term Structure Models. (2009). Geiger, Felix.
    In: Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim.
    RePEc:hoh:hohdip:316.

    Full description at Econpapers || Download paper

  343. WHAT MOVES BOND YIELDS IN CHINA?. (2009). Johansson, Anders ; Fan, Longzhen .
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-009.

    Full description at Econpapers || Download paper

  344. Can the term spread predict output growth and recessions? a survey of the literature. (2009). Wohar, Mark ; Wheelock, David.
    In: Review.
    RePEc:fip:fedlrv:y:2009:i:sep:p:419-440:n:v.91no.5.

    Full description at Econpapers || Download paper

  345. Real-time inflation forecasting in a changing world. (2009). Paap, Richard ; Groen, Jan ; Groen, J. J. J., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:16709.

    Full description at Econpapers || Download paper

  346. Macro-finance VARs and bond risk premia: A caveat. (2009). Taboga, Marco.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:4:p:163-171.

    Full description at Econpapers || Download paper

  347. A structural decomposition of the US yield curve. (2009). Wouters, Raf ; De Graeve, Ferre ; Emiris, Marina .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:56:y:2009:i:4:p:545-559.

    Full description at Econpapers || Download paper

  348. Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets. (2009). Zakrajsek, Egon ; Yankov, Vladimir ; Gilchrist, Simon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:56:y:2009:i:4:p:471-493.

    Full description at Econpapers || Download paper

  349. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence. (2009). Yang, Jian ; Zhou, Yinggang ; Wang, Zijun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:4:p:670-680.

    Full description at Econpapers || Download paper

  350. Dynamic modeling under linear-exponential loss. (2009). Anatolyev, Stanislav.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:1:p:82-89.

    Full description at Econpapers || Download paper

  351. On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements. (2009). Pasquariello, Paolo ; Subrahmanyam, Marti ; Brenner, Menachem.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:44:y:2009:i:06:p:1265-1289_99.

    Full description at Econpapers || Download paper

  352. Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates. (2009). Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-20.

    Full description at Econpapers || Download paper

  353. Evaluating ensemble density combination - forecasting GDP and inflation. (2009). Thorsrud, Leif ; Smith, Christie ; Jore, Anne Sofie ; Gerdrup, Karsten R..
    In: Working Paper.
    RePEc:bno:worpap:2009_19.

    Full description at Econpapers || Download paper

  354. Real-Time Inflation Forecasting in a Changing World. (2009). Ravazzolo, Francesco ; Paap, Richard ; Groen, Jan ; Jan J. J. Groen, .
    In: Working Paper.
    RePEc:bno:worpap:2009_16.

    Full description at Econpapers || Download paper

  355. Frequency-domain analysis of debt service in a macro-finance model for the euro area.. (2009). Renne, Jean-Paul ; Renne, J-P., .
    In: Working papers.
    RePEc:bfr:banfra:261.

    Full description at Econpapers || Download paper

  356. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.. (2009). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Working papers.
    RePEc:bfr:banfra:234.

    Full description at Econpapers || Download paper

  357. Predicting growth rates and recessions: assessing US leading indicators under real-time conditions. (2008). Dovern, Jonas ; Ziegler, Christina .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1397.

    Full description at Econpapers || Download paper

  358. A Macro?Finance Model of the Term Structure, Monetary Policy and the Economy. (2008). Wu, Tao ; Rudebusch, Glenn D.
    In: Economic Journal.
    RePEc:wly:econjl:v:118:y:2008:i:530:p:906-926.

    Full description at Econpapers || Download paper

  359. The term structure and the expectations hypothesis: a threshold model. (2008). Modena, Matteo.
    In: MPRA Paper.
    RePEc:pra:mprapa:9611.

    Full description at Econpapers || Download paper

  360. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2008). Taboga, Marco ; Pericoli, Marcello.
    In: MPRA Paper.
    RePEc:pra:mprapa:9523.

    Full description at Econpapers || Download paper

  361. Yield curve, time varying term premia, and business cycle fluctuations. (2008). Modena, Matteo.
    In: MPRA Paper.
    RePEc:pra:mprapa:8873.

    Full description at Econpapers || Download paper

  362. Macro-finance VARs and bond risk premia: a caveat. (2008). Taboga, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:11585.

    Full description at Econpapers || Download paper

  363. Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia. (2008). Soderberg, Jonas .
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_010.

    Full description at Econpapers || Download paper

  364. The Term Structure and the Expectations Hypothesis: a Threshold Model. (2008). Modena, Matteo.
    In: Working Papers.
    RePEc:gla:glaewp:2008_36.

    Full description at Econpapers || Download paper

  365. An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates. (2008). Modena, Matteo.
    In: Working Papers.
    RePEc:gla:glaewp:2008_35.

    Full description at Econpapers || Download paper

  366. Signal or noise? Implications of the term premium for recession forecasting. (2008). Rosenberg, Joshua V. ; Maurer, Samuel .
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2008:i:jul:p:1-11:n:v.14no.1.

    Full description at Econpapers || Download paper

  367. Globalization — Entropy unification through the Theil index. (2008). Mikiewicz, Janusz .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:26:p:6595-6604.

    Full description at Econpapers || Download paper

  368. Monetary policy with signal extraction from the bond market. (2008). Nimark, Kristoffer.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:8:p:1389-1400.

    Full description at Econpapers || Download paper

  369. Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach. (2008). Moench, Emanuel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:1:p:26-43.

    Full description at Econpapers || Download paper

  370. Forecasting with the yield curve; level, slope, and output 1875-1997. (2008). Haubrich, Joseph ; Bordo, Michael.
    In: Economics Letters.
    RePEc:eee:ecolet:v:99:y:2008:i:1:p:48-50.

    Full description at Econpapers || Download paper

  371. A no-arbitrage structural vector autoregressive model of the UK yield curve. (2008). Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0357.

    Full description at Econpapers || Download paper

  372. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:223.

    Full description at Econpapers || Download paper

  373. The Yield Curve and its Relation with Economic Activity: The Mexican Case.. (2008). Cavazos, Diana Salazar ; Cerecero, Mario Reyna ; Banda, Hector Salgado .
    In: Working Papers.
    RePEc:bdm:wpaper:2008-15.

    Full description at Econpapers || Download paper

  374. Short-term interest rate futures as monetary policy forecasts. (2008). Nobili, Andrea ; Ferrero, Giuseppe.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_681_08.

    Full description at Econpapers || Download paper

  375. Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model. (2008). Andreasen, Martin.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-43.

    Full description at Econpapers || Download paper

  376. The Canadian macroeconomy and the yield curve: an equilibrium‐based approach. (2007). Luger, Richard ; Garcia, René.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
    RePEc:wly:canjec:v:40:y:2007:i:2:p:561-583.

    Full description at Econpapers || Download paper

  377. La aplicación de un modelo de factores a las curvas de rendimiento del mercado de deuda pública colombiano. (2007). Riascos, Alvaro ; Suarez, Nicolas ; Bautista, Rafael .
    In: Galeras. Working Papers Series.
    RePEc:uac:somwps:014.

    Full description at Econpapers || Download paper

  378. Changes in Predictive Ability with Mixed Frequency Data. (2007). Galvão, Ana.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp595.

    Full description at Econpapers || Download paper

  379. Changes in Predictive Ability with Mixed Frequency Data. (2007). Galvão, Ana ; Galvo, Ana Beatriz.
    In: Working Papers.
    RePEc:qmw:qmwecw:595.

    Full description at Econpapers || Download paper

  380. A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors. (2007). Taboga, Marco ; Pericoli, Marcello ; Marcello, Pericoli.
    In: MPRA Paper.
    RePEc:pra:mprapa:4969.

    Full description at Econpapers || Download paper

  381. Structural change and the bond yield conundrum. (2007). Taboga, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:4965.

    Full description at Econpapers || Download paper

  382. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: MPRA Paper.
    RePEc:pra:mprapa:2512.

    Full description at Econpapers || Download paper

  383. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:07-029.

    Full description at Econpapers || Download paper

  384. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13611.

    Full description at Econpapers || Download paper

  385. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12962.

    Full description at Econpapers || Download paper

  386. The flattening of the yield curve : causes and economic policy implications. (2007). Collin, M..
    In: Economic Review.
    RePEc:nbb:ecrart:y:2007:m:june:i:i:p:47-60.

    Full description at Econpapers || Download paper

  387. Equilibrium Correlations of Asset Price and Return. (2007). Leung, Charles.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:34:y:2007:i:2:p:233-256.

    Full description at Econpapers || Download paper

  388. The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates. (2007). Hasseltoft, Henrik .
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0058.

    Full description at Econpapers || Download paper

  389. Commentary on Macroeconomic implications of changes in the term premium. (2007). Cochrane, John.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

    Full description at Econpapers || Download paper

  390. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

    Full description at Econpapers || Download paper

  391. Forecasting recessions: the puzzle of the enduring power of the yield curve. (2007). Williams, John ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2007-16.

    Full description at Econpapers || Download paper

  392. Do macro variables, asset markets, or surveys forecast inflation better?. (2007). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:4:p:1163-1212.

    Full description at Econpapers || Download paper

  393. Switching VARMA Term Structure Models - Extended Version.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:191.

    Full description at Econpapers || Download paper

  394. Multi-Lag Term Structure Models with Stochastic Risk Premia.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:189.

    Full description at Econpapers || Download paper

  395. PREDICTABILITY OF ECONOMIC ACTIVITY USING YIELD SPREADS: THE CASE OF BRAZIL. (2007). Tabak, Benjamin ; Feitosa, Mateus A..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:029.

    Full description at Econpapers || Download paper

  396. An interpretation of an affine term structure model of Chile. (2006). Ochoa, Juan.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:33:y:2006:i:2:p:155-184.

    Full description at Econpapers || Download paper

  397. Economic activity and Recession Probabilities: spread predictive power in Italy. (2006). Torricelli, Costanza ; Brunetti, Marianna ; Emilia, Reggio ; Modena, University of.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:350.

    Full description at Econpapers || Download paper

  398. Présentation générale. (2006). Dubois, Eric.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2006_num_172_1_7476.

    Full description at Econpapers || Download paper

  399. An Interpretation of An Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: MPRA Paper.
    RePEc:pra:mprapa:1072.

    Full description at Econpapers || Download paper

  400. Equilibrium Yield Curves. (2006). Schneider, Martin ; Piazzesi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12609.

    Full description at Econpapers || Download paper

  401. The yield curve and predicting recessions. (2006). Wright, Jonathan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-07.

    Full description at Econpapers || Download paper

  402. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

    Full description at Econpapers || Download paper

  403. The bond yield conundrum from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-16.

    Full description at Econpapers || Download paper

  404. Forecasting with the yield curve; level, slope, and output 1875-1997. (2006). Haubrich, Joseph ; Bordo, Michael.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0611.

    Full description at Econpapers || Download paper

  405. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. (2006). Watson, Mark ; Marcellino, Massimiliano ; Stock, James H..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:499-526.

    Full description at Econpapers || Download paper

  406. The yield curve as a predictor and emerging economies. (2006). Mehl, Arnaud.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006691.

    Full description at Econpapers || Download paper

  407. Interpreting an Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:380.

    Full description at Econpapers || Download paper

  408. The yield curve as a predictor and emerging economies. (2006). Mehl, Arnaud.
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2006_018.

    Full description at Econpapers || Download paper

  409. Bond Spreads as Predictors of Economic Activity in Eight European Economies. (). Mizen, Paul ; Bleaney, Michael ; Veleanu, Veronica.
    In: Discussion Papers.
    RePEc:not:notcfc:12/11.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ang, A. ; Bekaert, G. Regime switches in interest rates. 2002 Journal of Business and Economic Statistics. 20 163-189

  2. Ang, A. ; Piazzesi, M. A no-arbitrage vectorautoregression of term structure dynamics with macroeconomic and latent variables. 2003 Journal of Monetary Economics. 50 745-787
    Paper not yet in RePEc: Add citation now

  3. Ang, A., Bekaert, G., 2001. Stock return predictability: is it there?, Working paper, Columbia University.

  4. Ang, A., Bekaert, G., 2003. The term structure of real rates and expected inflation. Working paper, Columbia University.

  5. Bekaert, G. ; Hodrick, R.J. Expectations hypotheses tests. 2001 Journal of Finance. 56 1357-1394

  6. Berardi, A., Torous, W., 2002. Does the term structure forecast consumption growth? Working paper, UCLA.

  7. Bernanke, B.S. ; Blinder, A.S. The federal funds rate and the channels of monetary transmission. 1992 American Economic Review. 82 901-921

  8. Bernard, H. ; Gerlach, S. Does the term structure predict recessions? The international evidence. 1998 International Journal of Finance and Economics. 3 195-215

  9. Campbell, J.Y. ; Shiller, R.J. The dividend-price ratio and expectations of future dividends and discount factors. 1988 Review of Financial Studies. 1 195-228

  10. Campbell, J.Y. ; Shiller, R.J. Yield spreads and interest rate movements: a bird's eye view. 1991 Review of Economic Studies. 58 495-514

  11. Chen, N.F., 1991. Financial Investment Opportunities and the Macroeconomy. Journal of Finance 46, 529–554.

  12. Chen, R.R. ; Scott, L. Maximum likelihood estimation for a multi-factor equilibrium model of the term structure of interest rates. 1993 Journal of Fixed Income. 3 14-31
    Paper not yet in RePEc: Add citation now

  13. Christiano, L.J. ; Eichenbaum, M. ; Evans, C. Monetary policy shocks: what have we learned and to what end?. 1999 En : Woodford, M. ; Taylor, J.B. Handbook of Macroeconomics. North-Holland: Amsterdam

  14. Cochrane, J.Y., 1994. Permanent and transitory components of GNP and stock prices. Quarterly Journal of Economics 109, 241.

  15. Cochrane, J.Y., Piazzesi, M., 2002. Bond risk premia. NBER Working Paper 9178, September.

  16. Dai, Q., Singleton, K., 2002. Expectation puzzles, time-varying risk premia, and affine models of the term structure. Journal of Financial Economics 63, 415–441.

  17. Dai, Q., Singleton, K., Yang, W., 2003. Regime shifts in a dynamic term structure model of the U.S. treasury yields. Working paper, NYU.
    Paper not yet in RePEc: Add citation now

  18. Del Negro, M., Schorfheide, F., 2004. Priors from general equilibrium models for VARs. International Economic Review, forthcoming.

  19. Diebold, F.X. Elements of Forecasting. 2004 South-Western College Publishing:
    Paper not yet in RePEc: Add citation now

  20. Diebold, F.X., Li, C., 2003. Forecasting the term structure of government bond yields. Working paper, University of Pennsylvania.

  21. Diebold, F.X., Mariano, R.S., 1995. Comparing predictive accuracy. Journal of Business and Economic Statistics 13 (3), 253–263.

  22. Diebold, F.X., Rudebusch, G.D., Aruoba, B., 2003. The macroeconomy and the yield curve, Working paper, University of Pennsylvania.
    Paper not yet in RePEc: Add citation now

  23. Dotsey, M. The predictive content of the interest rate term spread for future economic growth. 1998 Federal Reserve Bank of Richmond Economic Quarterly. 84 31-51

  24. Dueker, M.J. Strengthening the case for the yield curve as a predictor of U.S. recessions. 1997 Federal Reserve Bank of St. Louis Review. 79 41-51

  25. Duffie, D. ; Kan, R. A yield-factor model of interest rates. 1996 Mathematical Finance. 6 379-406

  26. Estrella, A. ; Mishkin, F.S. Predicting U.S. recessions. 1998 Review of Economics and Statistics. 1 45-61
    Paper not yet in RePEc: Add citation now
  27. Estrella, A. ; Mishkin, F.S. The yield curve as a predictor of U.S. recessions, current issues in economics and finance. 1996 Federal Reserve Bank of New York. 2 1-6
    Paper not yet in RePEc: Add citation now

  28. Estrella, A., Hardouvelis, G.A., 1991. The term structure as predictor of real economic activity. Journal of Finance 46, 555–576.

  29. Estrella, A., Mishkin, F.S., 1997. The predictive power of the term structure of interest rates in Europe and the United States: implications for the European central bank. European Economic Review 41, 1375.

  30. Evans, C. ; Marshall, D. Monetary policy and the term structure of nominal interest rates: evidence and theory. 1998 Carnegie-Rochester Conference Series on Public Policy. 49 53-111

  31. Fama, E.F. Term structure forecasts of interest rates, inflation and real returns. 1990 Journal of Monetary Economics. 25 56-76

  32. Fama, E.F. ; Bliss, R.R. The information in long-maturity forward rates. 1987 American Economic Review. 77 680-692

  33. Hamilton, J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. 1989 Econometrica. 57 357-384

  34. Hamilton, J.D., Kim, D.H., 2002. A re-examination of the predictability of the yield spread for real economic activity. Journal of Money, Credit, and Banking 34, 340–360.
    Paper not yet in RePEc: Add citation now
  35. Harvey, C.R. Forecasts of economic growth from the bond and stock markets. 1989 Financial Analysts Journal. 45 38-45
    Paper not yet in RePEc: Add citation now
  36. Harvey, C.R. The term structure and world economic growth. 1991 Journal of Fixed Income. 1 7-19
    Paper not yet in RePEc: Add citation now
  37. Harvey, C.R. The term structure forecasts economic growth. 1993 Financial Analyst Journal. 49 6-8
    Paper not yet in RePEc: Add citation now

  38. Hodrick, R.J., 1992. Dividend yields and expected stock returns: alternative procedures for influence and measurement. Review of Financial Studies 5, 357–386.

  39. Hordahl, P., Tristani, O., Vestin, D., 2003. A joint econometric model of macroeconomic and term structure dynamics. Working paper, European Central Bank.

  40. Jorion, P. ; Mishkin, F.S. A multi-country comparison of term-structure forecasts at long horizons. 1991 Journal of Financial Economics. 29 59-80

  41. King, R.G. ; Stock, J.H. ; Watson, M.W. Temporal instability of the unemployment–inflation relationship. 1995 FRB Chicago - Economic Perspectives. 19 2-12

  42. Knez, P.J., Litterman, R., Scheinkman, J., 1994. Explorations into factors explaining money market returns. Journal of Finance 49 (5), 1861–1882.

  43. Laurent, R. An interest rate-based indicator of monetary policy, economic perspectives. 1988 Federal Reserve Bank of Chicago. 12 3-14

  44. Mishkin, F.S. A multi-country study of the information in the term structure about future inflation. 1990 Journal of International Money and Finance. 19 2-22
    Paper not yet in RePEc: Add citation now

  45. Mishkin, F.S., 1990a. The information in the longer maturity term structure about future inflation. Quarterly Journal of Economics 55, 815–828.

  46. Moody, A., Taylor, M.P., 2003. The high yield spread as a predictor of real economic activity: evidence of a financial accelerator for the United States. Working paper, IMF.

  47. Nelson, C.R. ; Siegel, A.F. Parsimonious modeling of yield curves. 1987 Journal of Business. 60 473-490

  48. Newey, W.K., McFadden, D.L., 1994. Large sample estimation and hypothesis testing. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics, vol. 4. Elsevier, Amsterdam, pp. 2111–2245.
    Paper not yet in RePEc: Add citation now

  49. Newey, W.K., West, K.D., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703–708.

  50. Piazzesi, M., 2003. Bond yields and the federal reserve. Journal of Political Economy, forthcoming.
    Paper not yet in RePEc: Add citation now

  51. Plosser, C.I., Rouwenhorst, K.G., 1994. International term structures and real economic growth. Journal of Monetary Economics 33, 133–155.

  52. Rudebusch, G.D., Wu, T., 2003. A macro-finance model of the term structure. Monetary Policy, and the Economy, Working paper, Federal Reserve Bank of San Francisco.
    Paper not yet in RePEc: Add citation now

  53. Schorfheide, F., 2003, Learning and monetary policy shifts. Working paper, University of Pennsylvania.

  54. Schorfheide, F., 2004. VAR forecasting under misspecification. Journal of Econometrics, forthcoming.

  55. Stambaugh, R.F. Predictive regressions. 1999 Journal of Financial Economics. 54 375-421

  56. Stock, J.H. ; Watson, M.W. New indexes of coincident and leading indicators. 1989 En : Blanchard, O. ; Fischer, S. 1989 NBER Macroeconomics Annual. MIT Press: Cambridge, MA

  57. Stock, J.H., Watson, M.W., 1999. Business cycle fluctuationsin U.S. macroeconomic time series. In: Taylor, J.B., Woodford, M. (Eds.), Handbook of Macroeconomics, vol. 1, Elsevier, Amsterdam, pp. 3-63.
    Paper not yet in RePEc: Add citation now

  58. Stock, J.H., Watson, M.W., 2001. Forecasting output and inflation: the role of asset prices. NBER Working paper 8180.

  59. Stock, J.H., Watson, M.W., 2002. Has the business cycle changed and why? In: Gertler, M., Rogoff, K. (Eds.), NBER Macroeconomics Annual 2002.

  60. Taylor, J.B. Discretion versus policy rules in practice. 1993 Carnegie-Rochester Conference Series on Public Policy. 39 195-214

  61. Wu, T., 2002, Monetary policy and the slope factors in empirical term structure estimations. Federal Reserve Bank of San Francisco Working paper 02-07.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.. (2010). Idier, Julien ; Avouyi-Dovi, Sanvi.
    In: Working papers.
    RePEc:bfr:banfra:278.

    Full description at Econpapers || Download paper

  2. Identification of speculative bubbles using state-space models with Markov-switching. (2009). Wilfling, Bernd ; Al-Anaswah, Nael .
    In: CQE Working Papers.
    RePEc:cqe:wpaper:0309.

    Full description at Econpapers || Download paper

  3. Prior Elicitation in Multiple Change-point Models. (2007). Potter, Simon ; Koop, Gary.
    In: Working Paper series.
    RePEc:rim:rimwps:17_07.

    Full description at Econpapers || Download paper

  4. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

  5. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:194.

    Full description at Econpapers || Download paper

  6. Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models.. (2006). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2006_6.

    Full description at Econpapers || Download paper

  7. MODELING THE EURO OVERNIGHT RATE. (2006). Benito, Francis ; Leon, ngel ; Nave, Juan .
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2006-11.

    Full description at Econpapers || Download paper

  8. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Hog, Espen P. ; Frederiksen, Per H..
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-01.

    Full description at Econpapers || Download paper

  9. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  10. Non-linear dynamics in the euro area demand for M1. (2006). Zaghini, Andrea ; Calza, Alessandro.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006592.

    Full description at Econpapers || Download paper

  11. The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective. (2005). Wu, Tao ; Rudebusch, Glenn.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:3.

    Full description at Econpapers || Download paper

  12. Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?. (2005). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11538.

    Full description at Econpapers || Download paper

  13. Whats Real About the Business Cycle?. (2005). Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11161.

    Full description at Econpapers || Download paper

  14. On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models.. (2005). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2005_9.

    Full description at Econpapers || Download paper

  15. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.. (2005). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
    RePEc:icr:wpicer:23-2005.

    Full description at Econpapers || Download paper

  16. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2005n14.

    Full description at Econpapers || Download paper

  17. Transition Variables in the Markov-switching Model: Some Small Sample Properties. (2005). Erlandsson, Ulf.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_025.

    Full description at Econpapers || Download paper

  18. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

  19. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

  20. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-001.

    Full description at Econpapers || Download paper

  21. Whats real about the business cycle?. (2005). Hamilton, James.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:jul:p:435-452:n:v.87no.4.

    Full description at Econpapers || Download paper

  22. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

    Full description at Econpapers || Download paper

  23. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2005). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4835.

    Full description at Econpapers || Download paper

  24. Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption. (2004). Kostov, Philip ; Lingard, John .
    In: Econometrics.
    RePEc:wpa:wuwpem:0409007.

    Full description at Econpapers || Download paper

  25. Lags in the response of gasoline prices to changes in crude oil. (2004). Radchenko, Stanislav.
    In: Econometrics.
    RePEc:wpa:wuwpem:0406001.

    Full description at Econpapers || Download paper

  26. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:upo:upopwp:20.

    Full description at Econpapers || Download paper

  27. Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates. (2004). PeterTillmann, .
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:53.

    Full description at Econpapers || Download paper

  28. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

    Full description at Econpapers || Download paper

  29. Regime-dependent synchronization of growth cycles between Japan and East Asia. (2004). girardin, eric.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:66.

    Full description at Econpapers || Download paper

  30. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1196.

    Full description at Econpapers || Download paper

  31. Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español. (2004). Robles Fernandez, M. Dolores.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:28:y:2004:i:2:p:349-376.

    Full description at Econpapers || Download paper

  32. Forecasting and estimating multiple change-point models with an unknown number of change points. (2004). Potter, Simon ; Koop, Gary.
    In: Staff Reports.
    RePEc:fip:fednsr:196.

    Full description at Econpapers || Download paper

  33. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:3.

    Full description at Econpapers || Download paper

  34. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:11.

    Full description at Econpapers || Download paper

  35. Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates. (2004). Tillmann, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:26.

    Full description at Econpapers || Download paper

  36. STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach. (2004). Morais, Igor ; de Morais, I. A. ; Portugal, M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:346.

    Full description at Econpapers || Download paper

  37. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model. (2004). Gau, Yin-Feng ; Tang, Wei-Ting.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:715.

    Full description at Econpapers || Download paper

  38. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

    Full description at Econpapers || Download paper

  39. On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts. (2004). Spagnolo, Fabio ; Sola, Martin ; Kenc, Turalay ; Driffill, Edward.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4165.

    Full description at Econpapers || Download paper

  40. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1237.

    Full description at Econpapers || Download paper

  41. ‘Forecasting Time Series Subject to Multiple Structural Breaks’. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0433.

    Full description at Econpapers || Download paper

  42. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

    Full description at Econpapers || Download paper

  43. Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate. (2003). Laurini, Márcio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_51.

    Full description at Econpapers || Download paper

  44. Long Memory int the R$/US$ Exchange Rate: A Robust Analysis. (2003). Laurini, Márcio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_50.

    Full description at Econpapers || Download paper

  45. What does the yield curve tell us about GDP growth?. (2003). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2003:i:mar:x:4.

    Full description at Econpapers || Download paper

  46. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

    Full description at Econpapers || Download paper

  47. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

    Full description at Econpapers || Download paper

  48. Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. (2002). Campbell, Sean D..
    In: Working Papers.
    RePEc:bro:econwp:2002-26.

    Full description at Econpapers || Download paper

  49. A Survey on Interest Rate Forecasting. (1999). Zimmermann, Christian ; Paquet, Alain ; Fauvel, Yvon.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:87.

    Full description at Econpapers || Download paper

  50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:244.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-04 15:19:57 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.