Narrow search
Showing 1 - 10 of 7,706
Cover Image
On the Predictive Power of Interest Rates and Interest Rate Spreads
Bernanke, Ben - 2021
A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate. Our results are consistent...
Persistent link: https://www.econbiz.de/10013219989
Cover Image
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond
Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - 2021
premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display … nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector …
Persistent link: https://www.econbiz.de/10013220936
Cover Image
An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along its Entire Length
Frankel, Jeffrey A.; Lown, Cara Sue - 2021
It is often suggested that the slope of the term structure of interest rates contains information about the expected future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates helps to predict the difference between the 12-month...
Persistent link: https://www.econbiz.de/10013235610
Cover Image
On Forecasting Interest Rates : An Efficient Markets Perspective
Pesando, James E. - 2010
This paper reviews, from an applied forecasting perspective, the properties of short- and long-term interest rates in … forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are …. Economic agents, in effect, are not likely to succeed in forecasting short-term movements in long-term interest rates. An …
Persistent link: https://www.econbiz.de/10012763198
Cover Image
The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012763403
Cover Image
Low Interest Rates, Policy, and the Predictive Content of the Yield Curve
Bordo, Michael D.; Haubrich, Joseph Gerard - 2022
Does the yield curve's ability to predict future output and recessions differ when interest rates are low, as in the current global environment? In this paper we build on recent econometric work by Shi, Phillips and Hurn that detects changes in the causal impact of the yield curve and relate...
Persistent link: https://www.econbiz.de/10013299169
Cover Image
Robust Bond Risk Premia
Bauer, Michael D. - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012954916
Cover Image
The Predictive Power of the Yield Curve Across Countries and Time
Chinn, Menzie David - 2010
In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as European countries. We examine the sensitivity...
Persistent link: https://www.econbiz.de/10013137763
Cover Image
Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
Ng, Serena - 2013
This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession which was unlike most other post-war recessions in the US in being driven by deleveraging and financial market factors. We document how recessions with financial...
Persistent link: https://www.econbiz.de/10013075147
Cover Image
Why Does the Paper-Bill Spread Predict Real Economic Activity?
Friedman, Benjamin M.; Kuttner, Kenneth N. - 2021
Evidence based on the past three decades of U.S. experience shows that the difference between the interest rates on commercial paper and Treasury bills has consistently borne a systematic relationship to subsequent fluctuations of nonfinancial economic activity. This interest rate spread...
Persistent link: https://www.econbiz.de/10013248254