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The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States
16 references·16 citing·41 second hopsampled
The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States (2003)The High-Yield Spread as a Predictor of R…In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)In-Sample or Out-of-Sample Te…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Should Central Banks Respond to Movements in Asset Prices? (2001)Should Central Banks Respond …Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? (1999)Exchange rates and monetary f…The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Financial Accelerator in …The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank (1997)The predictive power of the t…Inflows of Capital to Developing Countries in the 1990s (1996)Inflows of Capital to Develop…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyBusiness Fixed Investment Spending: Modeling Strategies, Empirical Results, and Policy Implications (1992)Business Fixed Investment Spe…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Specification Tests in Econometrics (1978)Specification Tests in Econom…The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies? 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References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1998The Financial Accelerator in a Quantitative Business Cycle Framework4,624 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Should Central Banks Respond to Movements in Asset Prices?1,166 cited
  • 1996Inflows of Capital to Developing Countries in the 1990s1,096 cited
  • 1992Business Fixed Investment Spending: Modeling Strategies, Empirical Results, and Policy Implications849 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?756 cited
  • 1997The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

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537 cited
  • 1999Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?429 cited
  • Cited by

    • 2009From Bear Stearns to Anglo Irish: How Eurozone Sovereign Spreads Related to Financial Sector Vulnerability98 cited
    • 2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads94 cited
    • 2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads67 cited
    • 2009Quantifying the Effect of Financial Conditions in the Euro Area, Japan, United Kingdom and United States61 cited
    • 2009From Bear Stearns to Anglo Irish61 cited
    • 2004What Does the Yield Curve Tell us about GDP Growth?53 cited
    • 2008Quantifying the Effect of Financial Conditions on US Activity49 cited
    • 2005The Role of Global Risk Aversion in Explaining Latin American Sovereign Spreads47 cited
    • 2018Like a Good Neighbor: Monetary Policy, Financial Stability, and the Distribution of Risk40 cited
    • 2017Asset Prices and Macroeconomic Outcomes: A Survey40 cited
    • 2007Bank lending in Germany and the UK: are there differences between a bank‐based and a market‐based country?31 cited
    • 2007The Role of Global Risk Aversion in Explaining Sovereign Spreads31 cited
    • 2012Sovereign default risk premia: Evidence from the default swap market31 cited
    • 2010The effect on the Swedish real economy of the financial crisis27 cited
    • 2018The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?27 cited
    • 2009Financial Factors in Economic Fluctuations ∗ (Preliminary)22 cited