Term structure surprises: the predictive content of curvature, level, and slope
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- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016.
"Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594,
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- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Atsushi Inoue & Barbara Rossi, 2021.
"A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy,"
Quantitative Economics, Econometric Society, vol. 12(4), pages 1085-1138, November.
- Atsushi Inoue & Barbara Rossi, 2018. "A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy," Economics Working Papers 1638, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2021.
- Atsushi Inoue & Barbara Rossi, 2019. "A New Approach to Measuring Economic Policy Shocks, with an Application to Conventional and Unconventional Monetary Policy," Working Papers 1082, Barcelona School of Economics.
- Hännikäinen, Jari, 2017.
"When does the yield curve contain predictive power? Evidence from a data-rich environment,"
International Journal of Forecasting, Elsevier, vol. 33(4), pages 1044-1064.
- Jari Hännikäinen, 2016. "When does the yield curve contain predictive power? Evidence from a data-rich environment," Working Papers 1603, Tampere University, Faculty of Management and Business, Economics.
- Hännikäinen, Jari, 2016. "When does the yield curve contain predictive power? Evidence from a data-rich environment," MPRA Paper 70489, University Library of Munich, Germany.
- Yifeng Yan & Ju'e Guo, 2015. "The Sovereign Yield Curve and the Macroeconomy in China," Pacific Economic Review, Wiley Blackwell, vol. 20(3), pages 415-441, August.
- Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014.
"The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market,"
International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
- Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Javier Sosvilla Rivero, 2013. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," Documentos de Trabajo del ICAE 2013-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019.
"Decomposing global yield curve co-movement,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers 18194, University of Essex, Essex Business School.
- Gupta, Rangan & Risse, Marian & Volkman, David A. & Wohar, Mark E., 2019.
"The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data,"
The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 391-405.
- Rangan Gupta & Marian Risse & David A. Volkman & Mark E. Wohar, 2017. "The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data," Working Papers 201755, University of Pretoria, Department of Economics.
- Gräb, Johannes & Kostka, Thomas, 2018. "Predicting risk premia in short-term interest rates and exchange rates," Working Paper Series 2131, European Central Bank.
- Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020.
"From carry trades to curvy trades,"
The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
- Dreher, Ferdinand & Gräb, Johannes & Kostka, Thomas, 2018. "From carry trades to curvy trades," Working Paper Series 2149, European Central Bank.
- Koopman, Siem Jan & van der Wel, Michel, 2013.
"Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model,"
International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
- Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
- Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012.
"The yield curve and the macro-economy across time and frequencies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
- Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," CEF.UP Working Papers 1004, Universidade do Porto, Faculdade de Economia do Porto.
- Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," NIPE Working Papers 21/2010, NIPE - Universidade do Minho.
- Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
- Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
- Rudra Sensarma & Indranil Bhattacharyya, 2016.
"Measuring monetary policy and its impact on the bond market of an emerging economy,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(2), pages 109-130, July.
- Sensarma, Rudra & Bhattacharyya, Indranil, 2015. "Measuring monetary policy and its impact on the bond market of an emerging economy," MPRA Paper 81067, University Library of Munich, Germany.
- Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Kaya, Huseyin, 2013. "The yield curve and the macroeconomy: Evidence from Turkey," Economic Modelling, Elsevier, vol. 32(C), pages 100-107.
- Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
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