In this paper we examine the explanatory and predictive power of interest rate volatility on the economic agent expectations measured by the Economic Sentiment Indicator (ESI), which is elaborated by the European Commission as a leading indicator of business cycle. In particular, we use implicit...

The disparate evidence obtained by the empirical literature of the expectations theory of the term structure of interest rates has been interpreted in different ways. One explanation stems from the findings of Mankiw and Miron (1986) who observed that the term spread in the U.S. had substantial...

Many papers have documented the positive relationship between the slope of the yield curve and future real economic activity in different countries and different time periods. One explanation for this economic link is based on monetary policy. However, empirical evidence (Estrella and...