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The Yield Curve as a Predictor of Growth: Long-Run Evidence, 1875–1997
16 references·9 citing·41 second hop
The Yield Curve as a Predictor of Growth: Long-Run Evidence, 1875–1997 (2008)The Yield Curve as a Predictor of Growth:…From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)From ‘Some Theoretical Proble…Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature (2009)Can the Term Spread Predict O…How Stable is the Forecasting Performance of the Yield Curve for Output Growth?* (2006)How Stable is the Forecasting…Why Does the Yield Curve Predict Output and Inflation? (2005)Why Does the Yield Curve Pred…Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis (2004)Using out-of-sample mean squa…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Indicator Properties of the Paper—Bill Spread: Lessons from Recent Experience (1998)Indicator Properties of the P…Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions (1997)Strengthening the Case for th…Predicting Real Growth Using the Yield Curve (1996)Predicting Real Growth Using …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Inflation Indicators and Inflation Policy (1995)Inflation Indicators and Infl…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…The Term Structure and World Economic Growth (1991)The Term Structure and World …The real term structure and consumption growth (1988)The real term structure and c…Does the Yield Curve Predict Output? (2021)Does the Yield Curve Predict …The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies? (2018)The yield spread's ability to…When does the yield curve contain predictive power? Evidence from a data-rich environment (2017)When does the yield curve con…The decline in the predictive power of the US term spread: A structural interpretation (2017)The decline in the predictive…Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads (2015)Zero lower bound, unconventio…Nested forecast model comparisons: A new approach to testing equal accuracy (2014)Nested forecast model compari…Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy (2012)Nested Forecast Model Compari…The Yield Curve as a Leading Indicator: Frequently Asked Questions (2008)The Yield Curve as a Leading …Forecasting with the yield curve; level, slope, and output 1875–1997 (2007)Forecasting with the yield cu…Staggered prices in a utility-maximizing framework (1983)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Phillips Curve Inflation Forecasts (2008)Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve (2009)Change Detection and the Causal Impact of the Yield Curve (2018)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Credit Spreads and Business Cycle Fluctuations (2012)The federal funds rate and the channels of monetary transmission (1989)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Do credit shocks matter? 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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1988The real term structure and consumption growth703 cited
  • 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
  • 2005Why Does the Yield Curve Predict Output and Inflation?329 cited
  • 2004Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis247 cited
  • 2009Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature214 cited
  • 1996Predicting Real Growth Using the Yield Curve206 cited
  • 1997Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions194 cited
  • 1991The Term Structure and World Economic Growth191 cited
  • 1998Indicator Properties of the Paper—Bill Spread: Lessons from Recent Experience150 cited
  • 2006How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*

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120 cited
  • 1995Inflation Indicators and Inflation Policy104 cited
  • Cited by

    • 2014Nested forecast model comparisons: A new approach to testing equal accuracy66 cited
    • 2012Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy38 cited
    • 2007Forecasting with the yield curve; level, slope, and output 1875–199737 cited
    • 2008The Yield Curve as a Leading Indicator: Frequently Asked Questions36 cited
    • 2018The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?27 cited
    • 2017When does the yield curve contain predictive power? Evidence from a data-rich environment21 cited
    • 2015Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads19 cited
    • 2017The decline in the predictive power of the US term spread: A structural interpretation19 cited
    • 2021Does the Yield Curve Predict Output?15 cited