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Does the yield spread predict recessions in the euro area?

Moneta, Fabio - In: International finance 8 (2005) 2, pp. 263-301

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area and provides evidence of the potential usefulness of this indicator for monetary policy purposes. In particular, the historical predictive power of ten variations of yield...

Persistent link: https://www.econbiz.de/10015180996

Forecasting Eurozone real-estate returns

Pierdzioch, Christian; Hartmann, Daniel - In: Applied financial economics 23 (2013) 13/15, pp. 1185-1196

Persistent link: https://www.econbiz.de/10010204784

Do Eurozone yield spreads predict recessions?

Schock, Matthias - 2014 - Rev. September 2014

recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a … using the commonly employed yield spread remains high, provided that biases associated with Eurozone sovereign default risk …

Persistent link: https://www.econbiz.de/10010419649

The European financial crisis : a challenge for ten-year German government bond yield forecasts?

Kunze, Frederik - In: International journal of bonds and derivatives 1 (2014) 2, pp. 171-185

Persistent link: https://www.econbiz.de/10011312441

Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?

Kinateder, Harald; Hofstetter, Benedikt; Wagner, Niklas F. - In: Finance research letters 21 (2017), pp. 144-150

Persistent link: https://www.econbiz.de/10011807738

From bond yield to macroeconomic instability : a parsimonious affine model

Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135

Persistent link: https://www.econbiz.de/10011802489

Evolutionary-based return forecasting with nonlinear STAR models : evidence from the Eurozone peripheral stock markets

Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Risk management decisions and wealth management in …, (pp. 307-333). 2018

Persistent link: https://www.econbiz.de/10011871641

Can average skewness really predict financial returns? : the euro area case

Annaert, Jan; De Ceuster, Marc J.; Cappellen, Jef van - In: Finance research letters 52 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472219

Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332

Does the Yield Spread Predict Recessions in the Euro Area?

Moneta, Fabio - 2006

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the...

Persistent link: https://www.econbiz.de/10014073820