Gallegati, Marco; Ramsey, James B.; Semmler, Willi - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 283-290
The information content of several interest rate spreads for future output growth is analyzed using wavelet analysis. The “scale-by-scale” regression analysis shows that standard indicators of the stance of monetary policy, such as the shape of the yield curve, the real federal funds rate,...