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Stock return predictability and the role of monetary policy

Patelis, Alex D. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1951-1972

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Predicting recessions with interest rate spreads : a multicountry regime-switching analysis

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Investigating cyclical asymmetries

Verbrugge, Randal (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 1, pp. 15-22

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Exchange rates and fundamentals : closing a two-country model

Kano, Takashi - 2013

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Periodic seasonal time series models with applications to US macroeconomic data

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Predicting regime switches in the VIX index with macroeconomic variables

Baba, Naohiko; Sakurai, Yuji - In: Applied economics letters 18 (2011) 13/15, pp. 1415-1419

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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - In: Applied financial economics 21 (2011) 1/3, pp. 43-60

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The dollar-euro exchange rate and macroeconomic fundamentals : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - In: Review of world economics 147 (2011) 1, pp. 11-40

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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - 2011

; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …). The variables that we predict are output growth and inflation, two representative variables from our set of indicators … find that the macroeconomic indicators (not including spreads) perform best when forecasting inflation in non-volatile time …

Persistent link: https://www.econbiz.de/10009130538

Diffusion index models and index proxies : recent results and new directions

Armah, Nii Ayi; Swanson, Norman R. - 2011

adequately "proxy" for estimated factors. -- diffusion index ; factor ; forecast ; macroeconometrics ; parameter estimation error …

Persistent link: https://www.econbiz.de/10009130556