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Gross Domestic Product Growth Predictions Through The Yield Spread: Time‐Variation And Structural Breaks

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  • Pierangelo De Pace

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  • Pierangelo De Pace, 2013. "Gross Domestic Product Growth Predictions Through The Yield Spread: Time‐Variation And Structural Breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-24, January.
    • Handle: RePEc:wly:ijfiec:v:18:y:2013:i:1:p:1-24
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    RePEc Biblio mentions

    As found on the RePEc Biblio, the curated bibliography for Economics:
    1. > Econometrics > Forecasting > Forecasting Economic Activity Using Financial Variables

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    Cited by:

    1. Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.
    2. Contessi, Silvio & De Pace, Pierangelo & Francis, Johanna L., 2013. "The cyclical properties of disaggregated capital flows," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 528-555.
    3. De Pace, Pierangelo & Weber, Kyle D., 2013. "High yield spreads, real economic activity, and the financial accelerator," Economics Letters, Elsevier, vol. 121(3), pages 346-355.
    4. Parley Ruogu Yang, 2020. "Using the yield curve to forecast economic growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1057-1080, November.
    5. Yutaka Kurihara, 2014. "Does High Yield Spread Dampen Economic Growth?: The Case of US-Japan," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 3(2), pages 01-09, April.
    6. Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
    7. Yutaka Kurihara, 2016. "Effectiveness of the Zero Interest Rate Policy for Financial Markets in Japan: Principal Components Analysis," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 103-111, August.
    8. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
    9. Parley Ruogu Yang & Ryan Lucas, 2021. "DMS, AE, DAA: methods and applications of adaptive time series model selection, ensemble, and financial evaluation," Papers 2110.11156, arXiv.org, revised Jul 2022.

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