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An interest rate-based indicator of monetary policy

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Cited by:

  1. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
  2. Bennett T. McCallum, 2005. "Monetary policy and the term structure of interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 91(Fall), pages 1-21.
  3. 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.
  4. 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).
  5. Martin Motl, 2023. "The inverted yield curve: economic recession on the horizon," Occasional Publications - Chapters in Edited Volumes, in: CNB Global Economic Outlook - April 2023, pages 13-19, Czech National Bank.
  6. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
  7. Holod, Dmytro & Peek, Joe, 2007. "Asymmetric information and liquidity constraints: A new test," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2425-2451, August.
  8. Nathan S. Balke & Kenneth M. Emery, 1994. "The federal funds rate as an indicator of monetary policy: evidence from the 1980s," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 1-15.
  9. 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.
  10. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
  11. David A. Becher & Gerald R. Jensen & Jeffrey M. Mercer, 2008. "Monetary Policy Indicators As Predictors Of Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(4), pages 357-379, December.
  12. 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.
  13. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
  14. 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.
  15. 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.
  16. Francesca Eugeni & Charles L. Evans & Steven Strongin, 1992. "Making sense of economic indicators: a consumer's guide to indicators of real economic activity," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 16(Sep), pages 2-31.
  17. M. Berument & Selahattin Togay & Afsin Sahin, 2011. "Identifying the Liquidity Effects of Monetary Policy Shocks for a Small Open Economy: Turkey," Open Economies Review, Springer, vol. 22(4), pages 649-667, September.
  18. Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
  19. Markus Baltzer & Gerhard Kling, 2005. "Predictability of future economic growth and the credibility of different monetary regimes in Germany, 1870 - 2003," Working Papers 5023, Economic History Society.
  20. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
  21. Tom Stark, 1998. "A Bayesian vector error corrections model of the U.S. economy," Working Papers 98-12, Federal Reserve Bank of Philadelphia.
  22. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  23. Tvedt, Jostein, 2019. "Transport services and the valuation of flexibility over business cycles," Transportation Research Part A: Policy and Practice, Elsevier, vol. 130(C), pages 517-528.
  24. 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.
  25. Juan Laborda & Sonia Ruano & Ignacio Zamanillo, 2023. "Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers," Mathematics, MDPI, vol. 11(12), pages 1-26, June.
  26. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
  27. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
  28. Jensen, Gerald R. & Mercer, Jeffrey M., 2006. "Security markets and the information content of monetary policy turning points," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 477-494, September.
  29. Tanner, J. Ernest & Pescatrice, Donn, 1998. "Was Monetary Policy Impotent or Simply Contracyclical in the 1980s?," Journal of Macroeconomics, Elsevier, vol. 20(1), pages 55-80, January.
  30. Nathan S. Balke & Kenneth M. Emery, 1994. "Understanding the price puzzle," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 15-26.
  31. Elisa Keller, 2007. "Classical and Bayesian Methods for the VAR Analysis: International Comparisons," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 149-202, November-.
  32. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan-Miguel, 2013. "On the informational role of term structure in the US monetary policy rule," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1852-1871.
  33. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers) 544, Bank of Italy, Economic Research and International Relations Area.
  34. Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers 42, CREFE, Université du Québec à Montréal.
  35. repec:ehu:dfaeii:6573 is not listed on IDEAS
  36. Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
  37. Hanabusa, Kunihiro, 2017. "Japan’s quantitative monetary easing policy: Effect on the level and volatility of yield spreads," Journal of Asian Economics, Elsevier, vol. 53(C), pages 56-66.
  38. Döpke, Jörg & Gern, Klaus-Jürgen, 1993. "Indikatoren für die konjunkturellen Wirkungen der Geldpolitik: Evidenz aus sechs großen Industrieländern," Kiel Working Papers 593, Kiel Institute for the World Economy (IfW Kiel).
  39. 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.
  40. Jaehoon Hahn & Ho-Seong Moon, 2016. "Credit Cycle and the Macroeconomy: Empirical Evidence from Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(4), pages 76-108, December.
  41. Hoon Cho & Brian Ciochetti & James Shilling, 2013. "Are Commercial Mortgage Defaults Affected by Tax Considerations?," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 1-23, January.
  42. Choo, Han Gwang & Kurita, Takamitsu, 2011. "An empirical investigation of monetary interaction in the Korean economy," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 267-280, April.
  43. M. A. Akhtar, 1995. "Monetary Policy And Long‐Term Interest Rates: A Survey Of Empirical Literature," Contemporary Economic Policy, Western Economic Association International, vol. 13(3), pages 110-130, July.
  44. Alter, Adrian & Mahoney, Elizabeth M., 2021. "Local house-price vulnerability: Evidence from the U.S. and Canada," Journal of Housing Economics, Elsevier, vol. 54(C).
  45. Chatterjee, Ujjal K., 2016. "Do stock market trading activities forecast recessions?," Economic Modelling, Elsevier, vol. 59(C), pages 370-386.
  46. Majumdar, Sumit K., 2016. "Debt and communications technology diffusion: Retrospective evidence," Research Policy, Elsevier, vol. 45(2), pages 458-474.
  47. Kenneth N. Kuttner, 1992. "Monetary policy with uncertain estimates of potential output," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 16(Jan), pages 2-15.
  48. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
  49. Reinhart, Carmen & Reinhart, Vincent, 1996. "Forecasting turning points in Canada," MPRA Paper 13884, University Library of Munich, Germany.
  50. Michael Feroli, 2004. "Monetary policy and the information content of the yield spread," Finance and Economics Discussion Series 2004-44, Board of Governors of the Federal Reserve System (U.S.).
  51. Sumit K. Majumdar & Rabih Moussawi & Ulku Yaylacicegi, 2018. "Capital Structure and Mergers: Retrospective Evidence from a Natural Experiment," Journal of Industry, Competition and Trade, Springer, vol. 18(4), pages 449-472, December.
  52. Kuosmanen, Petri & Vataja, Juuso, 2011. "The role of stock markets vs. the term spread in forecasting macrovariables in Finland," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 124-132, May.
  53. Arturo Estrella, 2005. "Why Does the Yield Curve Predict Output and Inflation?," Economic Journal, Royal Economic Society, vol. 115(505), pages 722-744, July.
  54. Daniel L. Thornton, 1996. "Identifying the liquidity effect: the case of nonborrowed reserves," Working Papers 1996-002, Federal Reserve Bank of St. Louis.
  55. Stark, Tom & Croushore, Dean, 1998. "Evaluating McCallum's Rule When Monetary Policy Matters," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 451-485, July.
  56. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
  57. Giraldo, Carlos & Giraldo, Iader & Gomez-Gonzalez, Jose E. & Uribe, Jorge M., 2024. "Term Spread Spillovers to Latin America and Emergence of the ‘Twin Ds’," Documentos de trabajo 21169, FLAR.
  58. Oral Erdogan & Paul Bennett & Cenktan Ozyildirim, 2015. "Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures," Review of Finance, European Finance Association, vol. 19(1), pages 407-422.
  59. Asgharian, Hossein & Liu, Lu & Larsson, Marcus, 2018. "Cross-border asset holdings and comovements in sovereign bond markets," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 189-206.
  60. 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.
  61. Markus Baltzer & Gerhard Kling, 2007. "Predictability of future economic growth and the credibility of monetary regimes in Germany, 1870-2003," Applied Economics Letters, Taylor & Francis Journals, vol. 14(6), pages 401-404.
  62. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
  63. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  64. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
  65. Becher, David A., 2009. "Bidder returns and merger anticipation: Evidence from banking deregulation," Journal of Corporate Finance, Elsevier, vol. 15(1), pages 85-98, February.
  66. Haykaz Igityan, 2019. "Asymmetric Effects of Monetary Policy in Different Phases of Armenia's Business Cycle," Working Papers 11, Central Bank of the Republic of Armenia.
  67. Arturo Estrella & Frederic S. Mishkin, 1995. "The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York.
  68. Kallberg, Jarl & Pasquariello, Paolo, 2008. "Time-series and cross-sectional excess comovement in stock indexes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 481-502, June.
  69. Michael Dotsey, 1998. "The predictive content of the interest rate term spread for future economic growth," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 31-51.
  70. Emanuele BACCHIOCCHI, 2011. "Identification in structural VAR models with different volatility regimes," Departmental Working Papers 2011-39, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  71. Anil K. Kashyap & Jeremy C. Stein, 1997. "What Do a Million Banks Have to Say About the Transmission of Monetary Policy?," NBER Working Papers 6056, National Bureau of Economic Research, Inc.
  72. 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.
  73. Laurence Harris & Manqoba Ntshakala, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series 63, World Institute for Development Economic Research (UNU-WIDER).
  74. Haykaz Igityan, 2021. "Asymmetric Effects of Monetary Policy on the Armenian Economy," Russian Journal of Money and Finance, Bank of Russia, vol. 80(1), pages 46-103, March.
  75. Moersch, Mathias, 1996. "Predicting output with a money market spread," Journal of Economics and Business, Elsevier, vol. 48(2), pages 185-199, May.
  76. Idilbi-Bayaa, Yasmeen & Qadan, Mahmoud, 2022. "What the current yield curve says, and what the future prices of energy do," Resources Policy, Elsevier, vol. 75(C).
  77. Haykaz Igityan, 2021. "Asymmetric Effects of Monetary Policy on the Armenian Economy," Working Papers 18, Central Bank of the Republic of Armenia, revised Mar 2021.
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