What does the yield curve tell us about GDP growth?
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Publication:292029
DOI10.1016/j.jeconom.2005.01.032zbMath1337.91058OpenAlexW3021590600MaRDI QIDQ292029
Andrew Ang, Min Wei, Monika Piazzesi
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.frbsf.org/economics/conferences/0303/gdp.pdf
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)
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Cites Work
- Forecasting the term structure of government bond yields
- VAR forecasting under misspecification
- The macroeconomy and the yield curve: a dynamic latent factor approach
- A joint econometric model of macroeconomic and term-structure dynamics
- The solution of dynamic linear rational expectations models
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A YIELD‐FACTOR MODEL OF INTEREST RATES
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