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Why does the yield-curve slope predict recessions?
16 references·1 citing·44 second hop
Why does the yield-curve slope predict recessions? (2018)Why does the yield-curve slope predict re…Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2017)Inflation Bets or Deflation H…Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve (2009)Forecasting Recessions: The P…Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2008)Inflation Bets or Deflation H…Macroeconomic Implications of Changes in the Term Premium (2007)Macroeconomic Implications of…The Yield Curve and Predicting Recessions (2006)The Yield Curve and Predictin…Macroeconomic Implications of Changes in the Term Premium (2006)Macroeconomic Implications of…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…A Reexamination of the Predictability of Economic Activity Using the Yield Spread (2002)A Reexamination of the Predic…A Re-Examination of the Predictability of Economic Activity Using the Yield Spread (2001)A Re-Examination of the Predi…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1995)Predicting U.S. Recessions: F…The 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 …Forecasts of Economic Growth from the Bond and Stock Markets (1989)Forecasts of Economic Growth …The real term structure and consumption growth (1988)The real term structure and c…Term premiums and default premiums in money markets (1986)Term premiums and default pre…Text-Based Recession Probabilities (2022)Text-Based Recession Probabil…New Indexes of Coincident and Leading Economic Indicators (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature (2009)Credit Risk and the Macroeconomy: Evidence from an Estimated DSGE Model (2009)Dynamic probit models and financial variables in recession forecasting (2009)Asymptotic Inference about Predictive Ability (1996)Evaluating the Classification of Economic Activity into Recessions and Expansions (2011)A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger (2016)Change Detection and the Causal Impact of the Yield Curve (2018)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Does the debt market assess large banks, risk? (1992)“Explaining the Rate Spread on Corporate Bonds” (2010)Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty (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)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Discretion versus policy rules in practice (1993)Comparing Predictive Accuracy (1994)A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)ARCH modeling in finance (1992)The Econometrics of Financial Markets (1997)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Affine Term Structure Models (2010)The Econometrics of Financial Markets (2012)Changes in bank lending standards and the macroeconomy (2014)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A multivariate model of strategic asset allocation (2002)Time-varying short-horizon predictability☆ (2010)Stock Market Liquidity and the Business Cycle (2011)Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Coronavirus: Impact on Stock Prices and Growth Expectations (2020)How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States (2003)The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)
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References

  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 1988The real term structure and consumption growth703 cited
  • 1989Forecasts of Economic Growth from the Bond and Stock Markets424 cited
  • 1995Predicting U.S. Recessions: Financial Variables as Leading Indicators366 cited
  • 2002A Reexamination of the Predictability of Economic Activity Using the Yield Spread357 cited
  • 2009Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve294 cited
  • 1986Term premiums and default premiums in money markets244 cited
  • 2006The Yield Curve and Predicting Recessions223 cited
  • 2017Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds214 cited
  • 1991The Term Structure and World Economic Growth191 cited
  • 2006Macroeconomic Implications of Changes in the Term Premium143 cited
  • 2008Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds121 cited
  • 2001A Re-Examination of the Predictability of Economic Activity Using the Yield Spread

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99 cited
  • 2007Macroeconomic Implications of Changes in the Term Premium89 cited
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    • 2022Text-Based Recession Probabilities11 cited