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The yield curve as a predictor and emerging economies
Mehl, Arnaud - European Central Bank - 2006
-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …
Persistent link: https://www.econbiz.de/10005530689
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - CESifo - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10005249463
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COUNTRY RISK: Economic Policy, Contagion Effect or Political noise?
Nogués, Julio; Grandes, Martín - In: Journal of Applied Economics IV (2001) May, pp. 125-162
The opening of the capital account was one of the important structural reforms implemented by Argentina. This liberalization increased the linkage of the real economy with the changing conditions of the international financial markets. In particular, recent data show a clear relation between...
Persistent link: https://www.econbiz.de/10005168959
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Interactions between US and UK interest rates and news spillovers: the impact of the EMU
Kuhry, Yves; Tuysuz, Sukriye - In: Brussels Economic Review 52 (2009) 1, pp. 79-99
This paper studies interactions between UK and US interest rates. We determine how interest rates’ means and volatilities react to key economic/financial news. We analyse the integration of the American and British economies by studying spillover and feedback effects between rates and news...
Persistent link: https://www.econbiz.de/10008868091
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
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Unspanned Macroeconomic Factors in the Yields Curve
Giannone, Domenico; Coroneo, Laura; Modugno, Michèle - European Centre for Advanced Research in Economics and … - 2013
We show that two macroeconomic factors have an important predictive content for governmentbond yields and excess returns. These factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates.
Persistent link: https://www.econbiz.de/10010606850
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GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries
Gogas, Periklis; Pragidis, Ioannis - Department of Economics, Democritus University of Thrace - 2010
model of the inverse cumulative distribution function of the standard distribution, using several formal forecasting and … significant forecasting power in terms of real economic activity but the results differ qualitatively between the individual …
Persistent link: https://www.econbiz.de/10008513364
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A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles
Chauvet, Marcelle; Senyuz, Zeynep - Volkswirtschaftliche Fakultät, … - 2008
forecasting performance, the proposed factor model of the yield curve exhibits substantial incremental predictive value. This …
Persistent link: https://www.econbiz.de/10005105704
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Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007
This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …
Persistent link: https://www.econbiz.de/10005497801
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Predicting output using the entire yield curve
Abdymomunov, Azamat - In: Journal of Macroeconomics 37 (2013) C, pp. 333-344
forecasting approach used in the term spread model. While I confirm the importance of the term spread as a predictor of future …
Persistent link: https://www.econbiz.de/10010682577