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The term structure of interest rates in Japan: the predictability of economic activity

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  • Nakaota, Hiroshi

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  • Nakaota, Hiroshi, 2005. "The term structure of interest rates in Japan: the predictability of economic activity," Japan and the World Economy, Elsevier, vol. 17(3), pages 311-326, August.
    • Handle: RePEc:eee:japwor:v:17:y:2005:i:3:p:311-326
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    14. Catherine Bonser-Neal & Timothy R. Morley, 1997. "Does the yield spread predict real economic activity? : a multicountry analysis," Economic Review, Federal Reserve Bank of Kansas City, vol. 82(Q III), pages 37-53.
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    18. Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
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    21. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
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    Cited by:

    1. Thomas M. Fullerton & Elías D. Saenz-Rojo & Adam G. Walke, 2017. "Yield spreads, currency movements, and recession predictability for southern border economies in the United States," Applied Economics, Taylor & Francis Journals, vol. 49(30), pages 2910-2921, June.
    2. Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    3. Nakaota, Hiroshi & Fukuta, Yuichi, 2013. "The leading indicator property of the term spread and the monetary policy factors in Japan," Japan and the World Economy, Elsevier, vol. 28(C), pages 85-98.
    4. Mei-Chih Wang & Pao-Lan Kuo & Chan-Sheng Chen & Chien-Liang Chiu & Tsangyao Chang, 2020. "Yield Spread and Economic Policy Uncertainty: Evidence from Japan," Sustainability, MDPI, vol. 12(10), pages 1-14, May.
    5. Firdous Ahmad Shah & Lokenath Debnath, 2017. "Wavelet Neural Network Model for Yield Spread Forecasting," Mathematics, MDPI, vol. 5(4), pages 1-15, November.
    6. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato.
    7. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Evgenidis, Anastasios & Papadamou, Stephanos & Siriopoulos, Costas, 2020. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?," Journal of Business Research, Elsevier, vol. 106(C), pages 221-232.
    9. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09, Osaka University, Graduate School of Economics, revised Jul 2013.
    10. Gebka, Bartosz & Wohar, Mark E., 2018. "The predictive power of the yield spread for future economic expansions: Evidence from a new approach," Economic Modelling, Elsevier, vol. 75(C), pages 181-195.
    11. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
    12. Arif Dar & Amaresh Samantaraya & Firdous Shah, 2014. "The predictive power of yield spread: evidence from wavelet analysis," Empirical Economics, Springer, vol. 46(3), pages 887-901, May.
    13. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09-Rev, Osaka University, Graduate School of Economics.
    14. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
    15. Masashi Hasegawa & Yuichi Fukuta, 2011. "An empirical analysis of information in the yield spread on future recessions in Japan," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1865-1881.
    16. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.

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