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The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

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Cited by:

  1. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information In The Yield Curve: A Macro‐Finance Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 42-64, January.
  2. Martin Ellison & Sang Seok Lee & Kevin Hjortshøj O'Rourke, 2024. "The Ends of 27 Big Depressions," American Economic Review, American Economic Association, vol. 114(1), pages 134-168, January.
  3. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
  4. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  5. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
  6. James Peery Cover & Hye-Jin Lee, 2015. "Do market prices aggregate information about macroeconomic uncertainty (or risk)?," Applied Economics, Taylor & Francis Journals, vol. 47(42), pages 4511-4534, September.
  7. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
  8. repec:kap:iaecre:v:16:y:2010:i:1:p:1-10 is not listed on IDEAS
  9. Ege, Yazgan & Huseyin, Kaya, 2010. "Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market ?," MPRA Paper 24810, University Library of Munich, Germany.
  10. Franck Sédillot, 2001. "La pente des taux contient-elle de l'information sur l'activité économique future ?," Economie & Prévision, La Documentation Française, vol. 147(1), pages 141-157.
  11. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
  12. Ulrich Fritsche & Felix Marklein, 2001. "Leading Indicators of Euroland Business Cycles," Discussion Papers of DIW Berlin 238, DIW Berlin, German Institute for Economic Research.
  13. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
  14. Putkuri, Hanna, 2003. "Cross-country asymmetries in euro area monetary transmission : The role of national financial systems," Research Discussion Papers 15/2003, Bank of Finland.
  15. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model," Bank of Japan Working Paper Series 04-E-11, Bank of Japan.
  16. Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013. "What determines Euro area bank CDS spreads?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
  17. Siklos, Pierre L, 2000. "Inflation Targets and the Yield Curve: New Zealand and Australia versus the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(1), pages 15-32, February.
  18. Seitz, Franz & Baumann, Ursel & Albuquerque, Bruno, 2015. "The information content of money and credit for US activity," Working Paper Series 1803, European Central Bank.
  19. Javier Gomez-Biscarri, 2009. "The predictive power of the term spread revisited: a change in the sign of the predictive relationship," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1131-1142.
  20. McMillan, David G., 2021. "When and why do stock and bond markets predict US economic growth?," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 331-343.
  21. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
  22. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  23. He, Xiaoli & Jacobs, Jan P.A.M. & Kuper, Gerard H. & Ligthart, Jenny E., 2013. "On the Impact of the Global Financial Crisis on the Euro Area," Working Papers 17209, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
  24. Periklis Gogas & Theophilos Papadimitriou & Maria Matthaiou & Efthymia Chrysanthidou, 2015. "Yield Curve and Recession Forecasting in a Machine Learning Framework," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 635-645, April.
  25. Vázquez Jesús, 2004. "Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-41, March.
  26. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
  27. Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
  28. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'économie 03.02, Université de Lausanne, Faculté des HEC, Département d’économie.
  29. Putkuri, Hanna, 2003. "Cross-country asymmetries in euro area monetary transmission: The role of national financial systems," Bank of Finland Research Discussion Papers 15/2003, Bank of Finland.
  30. Ulrich Fritsche, 2001. "Do probit models help in forecasting turning points of German business cycles?," Macroeconomics 0012022, University Library of Munich, Germany.
  31. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
  32. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
  33. 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].
  34. Ferdi Botha & Gavin Keeton, 2014. "A Note on the (Continued) Ability of the Yield Curve to Forecast Economic Downturns in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 82(3), pages 468-473, September.
  35. Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
  36. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
  37. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2017. "The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(2), pages 109-121, March.
  38. Vázquez Pérez, Jesús, 2002. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
  39. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
  40. Chew Lian Chua & Sandy Suardi, 2007. "Markov‐Switching Mean Reversion in Short‐Term Interest Rates: Evidence from East Asian Economies," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 383-397, December.
  41. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
  42. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
  43. Mathias Moersch & Armin Pohl, 2011. "Predicting recessions with the term spread - recent evidence from seven countries," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1285-1288.
  44. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
  45. Bordo, Michael D. & Haubrich, Joseph G., 2024. "Low interest rates and the predictive content of the yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  46. Linda S. Goldberg & Michael W. Klein, 2005. "Establishing Credibility: Evolving Perceptions of the European Central Bank," NBER Working Papers 11792, National Bureau of Economic Research, Inc.
  47. Johannes Peyavali Sheefeni Sheefeni & Teresia Kaulihowa, 2016. "Examining the Relationship between Term Structure of Interest Rates and Economic Activity in Namibia," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 2(9), pages 161-168, 09-2016.
  48. Anders Johansson & Lars Rolseth, 2001. "The effects of firm-specific variables and consensus forecast data on the pricing of large Swedish firms' stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 373-384.
  49. Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
  50. Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2021. "Predicting recessions with a frontier measure of output gap: an application to Italian economy," Empirical Economics, Springer, vol. 60(6), pages 2701-2740, June.
  51. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
  52. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 817-838.
  53. Gomez-Biscarri, Javier, 2008. "Changes in the informational content of term spreads: Is monetary policy becoming less effective?," Journal of Economics and Business, Elsevier, vol. 60(5), pages 415-435.
  54. Yutaka Kurihara, 2016. "Term Structure of Interest Rates under Zero or Low Bound: The Recent Japanese Case," Economy, Asian Online Journal Publishing Group, vol. 3(1), pages 19-23.
  55. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86, Emerald Group Publishing Limited.
  56. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  57. Ludger Lindlar & Wolfgang Scheremet, 1998. "Germany's Slump Explaining the Unemployment Crisis of the 1990s," Discussion Papers of DIW Berlin 169, DIW Berlin, German Institute for Economic Research.
  58. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, vol. 16(1), pages 39-58.
  59. Kuosmanen, Petri & Vataja, Juuso, 2019. "Time-varying predictive content of financial variables in forecasting GDP growth in the G-7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 211-222.
  60. Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
  61. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
  62. Hardouvelis, Gikas & Malliaropoulos, Dimitrios, 2004. "The Yield Spread as a Symmetric Predictor of Output and Inflation," CEPR Discussion Papers 4314, C.E.P.R. Discussion Papers.
  63. Boukhatem, Jamel & Sekouhi, Hayfa, 2017. "What does the bond yield curve tell us about Tunisian economic activity?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 295-303.
  64. 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.
  65. Gül, Selçuk & Taştan, Hüseyin, 2020. "The impact of monetary policy stance, financial conditions, and the GFC on investment-cash flow sensitivity," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 692-707.
  66. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
  67. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  68. Andrea Ajello & Luca Benzoni & Olena Chyruk & Stijn Van Nieuwerburgh, 2020. "Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3719-3765.
  69. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
  70. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
  71. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
  72. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2013. "In the Shadow of the U nited S tates: The International Transmission Effect of Asset Returns," Pacific Economic Review, Wiley Blackwell, vol. 18(1), pages 1-40, February.
  73. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Business School - Economics, University of Glasgow.
  74. 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.
  75. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  76. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
  77. Ahrens, Ralf, 1999. "Predicting recessions with interest rate spreads: A multicountry regime-switching analysis," CFS Working Paper Series 1999/15, Center for Financial Studies (CFS).
  78. Jorg Bibow, 2001. "Making EMU Work: Some lessons from the 1990s," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(3), pages 233-259.
  79. Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You, 2022. "The information in global interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1135-1166, June.
  80. Valadkhani, Abbas, 2004. "Does the Term Structure Predict Australia's Future Output Growth?," Economic Analysis and Policy, Elsevier, vol. 34(2), pages 121-144, September.
  81. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
  82. Jardet, Caroline, 2004. "Why did the term structure of interest rates lose its predictive power?," Economic Modelling, Elsevier, vol. 21(3), pages 509-524, May.
  83. Paap, R. & Franses, Ph.H.B.F., 1999. "Do the US and Canada have a common nonlinear cycle in unemployment?," Econometric Institute Research Papers EI 9907-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  84. Dionisios Chionis & Periklis Gogas & Ioannis Pragidis, 2010. "Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(1), pages 1-10, February.
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  88. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
  89. Ulrich Fritsche & Vladimir Kuzin, 2002. "Do Leading Indicators Help to Predict Business Cycle Turning Points in Germany?," Discussion Papers of DIW Berlin 314, DIW Berlin, German Institute for Economic Research.
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  128. van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 11, European Central Bank.
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