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A dynamic factor model of yield curve as a predictor of the economy

Chauvet, Marcelle; Senyuz, Zeynep - 2012

Persistent link: https://www.econbiz.de/10009570152

A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

Chauvet, Marcelle - 2012

In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at...

Persistent link: https://www.econbiz.de/10013104542

A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles

Chauvet, Marcelle - 2009

This paper proposes an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast both future economic growth as well as the beginning and end of economic recessions at the...

Persistent link: https://www.econbiz.de/10013160052

A dynamic factor model of the yield curve components as a predictor of the economy

Chauvet, Marcelle; Senyuz, Zeynep - In: International journal of forecasting 32 (2016) 2, pp. 324-343

Persistent link: https://www.econbiz.de/10011596830

Forecasting Brazilian output and its turning points in the presence of breaks : a comparison of linear and nonlinear models

Céspedes, Brisne J. V.; Chauvet, Marcelle; Lima, … - In: Estudos econômicos : publicação trimestral do … 36 (2006) 1, pp. 5-46

Persistent link: https://www.econbiz.de/10003330218

Business cycle monitoring with structural changes

Chauvet, Marcelle; Potter, Simon M. - In: International journal of forecasting 26 (2010) 4, pp. 777-793

Persistent link: https://www.econbiz.de/10008807715

Leading indicators for the capital goods industry

Chauvet, Marcelle; Morais, Igor Alexandre Clemente de - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 1, pp. 137-171

Persistent link: https://www.econbiz.de/10009705448

Forecasting recessions using the yield curve

Chauvet, Marcelle; Potter, Simon M. - In: Journal of forecasting 24 (2005) 2, pp. 77-103

Persistent link: https://www.econbiz.de/10002674294

Prediciting a recession : evidence from the yield curve in the presence of structural breaks

Chauvet, Marcelle; Potter, Simon M. - In: Economics letters 77 (2002) 2, pp. 245-253

Persistent link: https://www.econbiz.de/10001705613

Identifying business cycle turning points in real time

Chauvet, Marcelle; Piger, Jeremy Max - 2002

Persistent link: https://www.econbiz.de/10001722453