analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in … quantify the extent to which ROC could be exaggerating the true predictive value of the yield curve in predicting recessions. …

yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate … off, increasing the FFR, and quantitative tightening as an external phenomenon that can affect the yield of Indonesian …

-2020. Our shocks are constructed as the daily change in the Nelson-Siegel yield curve factors after a monetary policy … announcement. Because these shocks include information along the entire yield curve, they provide a more comprehensive view of …- ment that monetary policy shocks often twist the yield curve, which tends to make monetary policy less effective …

of the EFSF curve and the swap curve allows to further identify the liquidity and credit components of both yield curves …