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Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using the universe of professional survey forecasts for the United States, we document the behavior of the entire term structure of expectations for output growth, inflation, and the...

Persistent link: https://www.econbiz.de/10012660381

Do Foreign Yield Curves Predict U.S. Recessions?

Ahmed, Rashad - 2022

This note shows that non-U.S. yield curves contain information about future U.S. recessions and economic activity. Using quarterly data from 1979-2021, a foreign term spread constructed from the bond yields of G-7 constituents is included in regressions of U.S. recession risk and U.S. real GDP...

Persistent link: https://www.econbiz.de/10013289150

Business Cycles, Optimal Interest Rate, and Recession Forecast From Yield Curve, Unemployment, GDP, and Payrolls

Lihn, Stephen H.T. - 2019

We developed a factor regression model, nicknamed “GUPTY”, to study the business cycles, and their relation to the monetary policy. It covers several major macro-economic quantities, including unemployment rate, GDP, and weekly payrolls in the U.S. after WWII. The model postulates that these...

Persistent link: https://www.econbiz.de/10012866359

Kuntze, Visa; Nyberg, Henri; Rauhala, Samuel - 2022

We develop a flexible nonparametric similarity-based approach to predict the state of the business cycle in different interest rate environments. Our approach provides methodological advantages over parametric logit and probit models and new empirical perspectives on the usefulness of the term...

Persistent link: https://www.econbiz.de/10013404263

News and uncertainty shocks

Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...

Persistent link: https://www.econbiz.de/10011967370

A Survey of Alternative Measures of Macroeconomic Uncertainty : Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?

David, Alexander; Veronesi, Pietro - 2022

creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …

Persistent link: https://www.econbiz.de/10013294567

Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets

De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar - 2023

We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the...

Persistent link: https://www.econbiz.de/10013549721

Uncertainty about QE effects when an interest rate peg is anticipated

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2018

After hitting the lower bound on interest rates, the Eurosystem engaged in a public sector purchase programme (PSPP) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter uncertainty in an analysis of these policies. We model FG as an...

Persistent link: https://www.econbiz.de/10011846905

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404549

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