To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...

In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency....