I apply a multiresolution decomposition to the term spread and real-GDP growth in the U.S. Using the filtered data, I study whether the yield spread helps forecasting output. The results show that the predictive power of the yield spread varies largely across time scales both in-sample and...

This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show...

Despite the fact that the correlation between policy rates in the U.S. and in the euro area has been low—at least over the past three decades—long term interest rates in the two regions have been highly correlated. More recently (since the early 1990s) their levels have also...

This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show...

I apply a multiresolution decomposition to the term spread and real-GDP growth in the U.S. Using the filtered data, I study whether the yield spread helps forecasting output. The results show that the predictive power of the yield spread varies largely across time scales both in-sample and...

Yes, but only at short horizons from 1 to 3 quarters over the full post-World War II sample. The predictive relation between the yield spread and the output gap is characterized by parameter instability. Differently from the predictive models of the yield spread for output growth, structural...

In this paper, we use panel data to test whether Federal Open Market Committee (FOMC) board members’ forecasts are rational. Rationality is rejected in the sense that forecasts by members are heavily dependent on previous own forecasts and last consensus made in FOMC. Furthermore, we reveal...

Twice a year FOMC members submit forecasts for growth, unemplyoment and in ation to be published in the Humphrey-Hawkins Report to Congress. In this paper we use individual FOMC forecasts to assess whether these forecasts exhibit herding behavior, a pattern often found in private sector...

The paper aims at showing that one of the main channels by which the US 2007 financial crisis became a real and global economic crisis is the 'confidence channel', i.e. that the financial crisis affected firms, banks and households’ expectations and confidence, thus leading to what they...