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Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

indicator than the spreads in studying the term structure. Key words: Business cycle, recession forecast, U.S. Treasury yield …

Persistent link: https://www.econbiz.de/10012886359

Does the Term Structure Predict Recessions? The International Evidence

Gerlach, Stefan; Bernard, Henri - 2013

Following Estrella and Hardouvelis (1991) and Estrella and Mishkin (1995a, b), we study the ability of the term structure to predict recessions in eight countries. The results are four-fold. First, the yield curve predicts future recessions in all countries. Second, term spreads forecast...

Persistent link: https://www.econbiz.de/10014215323

The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

Paccagnini, Alessia - 2014

The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...

Persistent link: https://www.econbiz.de/10014144946

International Term Structures and Real Economic Growth

Plosser, Charles I.; Rouwenhorst, K. Geert - 2004

The paper extends previous work on the information in the term structure about future real economic growth. For the U.S. and Germany, and to a lesser extent for the U.K., we find evidence that the long end of the term structure has information about future growth of industrial production beyond...

Persistent link: https://www.econbiz.de/10014069643

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

Does the term structure predict recessions? : the international evidence

Bernard, Henri - 1996

Persistent link: https://www.econbiz.de/10013431813

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021

the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy … determining the relative weight of these states over time. We show that shocks to the credit spread and shocks to credit standards … directly lead to a reduction of real GDP growth, whereas shocks to the quantity of credit are slightly less important in …

Persistent link: https://www.econbiz.de/10013328355

"Modelación de la curva de rendimientos de los EE.UU con base en determinantes del ciclo económico"

Morán, Benjamín; Zepeda, Eduardo - 2021

Persistent link: https://www.econbiz.de/10013455693

Do yield curve inversions predict recessions in the euro area?

Sabes, David; Sahuc, Jean-Guillaume - In: Finance research letters 52 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014471926

Bond premium cyclicality and liquidity traps

Caramp, Nicolas; Singh, Sanjay R. - In: The review of economic studies : RES 90 (2023) 6, pp. 2822-2879

Persistent link: https://www.econbiz.de/10014427650