Investigating time-variation in the marginal predictive power of the yield spread

DOI10.1016/j.jedc.2007.05.005zbMath1181.91271MaRDI QIDQ844643

Luca Benati, Charles. A. E. Goodhart

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp802.pdf

zbMATH Keywords

frequency domain; stochastic volatility; time-varying parameters; Monte Carlo integration; Bayesian VARs; great inflation; median-unbiased estimation; Volcker disinflation

Mathematics Subject Classification ID

91B84: Economic time series analysis

Related Items

The yield curve and the macro-economy across time and frequencies, Interest rate spreads and output: a time scale decomposition analysis using wavelets

Uses Software

• bvarsv

Cites Work

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