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A reappraisal of the leading indicator properties of the yield curve under structural instability
16 references·5 citing·44 second hop
A reappraisal of the leading indicator properties of the yield curve under structural instability (2009)A reappraisal of the leading indicator pr…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Bond Risk Premia (2005)Bond Risk PremiaForecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Has the U.S. Economy Become M…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…NBER macroeconomics annual 1987 (1989)NBER macroeconomics annual 19…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Out‐of‐sample volatility prediction: Rolling window, expanding window, or both? (2023)Out‐of‐sample volatility pred…Comparing Sentiment- and Behavioral-Based Leading Indexes for Industrial Production: When Does Each Fail? (2019)Comparing Sentiment- and Beha…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…Risk-return trade-off for European stock markets (2016)Risk-return trade-off for Eur…Predicting severe simultaneous recessions using yield spreads as leading indicators (2012)Predicting severe simultaneou…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)The Combination of Forecasts (1969)Combining forecasts: A review and annotated bibliography (1989)The M3-Competition: results, conclusions and implications (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)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)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)
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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2005Bond Risk Premia1,546 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1989NBER macroeconomics annual 1987923 cited
  • 2001Stock Return Predictability: Is it There?897 cited

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  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • Cited by

    • 2016Risk-return trade-off for European stock markets31 cited
    • 2012Predicting severe simultaneous recessions using yield spreads as leading indicators29 cited
    • 2018The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?27 cited
    • 2023Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?22 cited
    • 2019Comparing Sentiment- and Behavioral-Based Leading Indexes for Industrial Production: When Does Each Fail?14 cited