What does the yield curve tell us about GDP growth?
DOI10.1016/J.JECONOM.2005.01.032zbMATH Open1337.91058OpenAlexW3021590600MaRDI QIDQ292029FDOQ292029
Authors: Andrew Ang, Monika Piazzesi, Min Wei 
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
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Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82) Economic growth models (91B62)
Cites Work
- Forecasting the term structure of government bond yields
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- The solution of dynamic linear rational expectations models
- The macroeconomy and the yield curve: a dynamic latent factor approach
- VAR forecasting under misspecification
- A joint econometric model of macroeconomic and term-structure dynamics
Cited In (23)
- What does financial volatility tell us about macroeconomic fluctuations?
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Bilinear term structure model
- Identification and estimation of Gaussian affine term structure models
- Getting the ROC into Sync
- A theory of intermediated investment with hyperbolic discounting investors
- Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
- The origins and effects of macroeconomic uncertainty
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Forecasting economic data with neural networks
- A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
- Fundamental bubbles in equity markets
- The yield curve and the macro-economy across time and frequencies
- Wavelet neural network model for yield spread forecasting
- The effects of monetary policy regime shifts on the term structure of interest rates
- Investigating time-variation in the marginal predictive power of the yield spread
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- A predictability test for a small number of nested models
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Approximately normal tests for equal predictive accuracy in nested models
- The macroeconomy and the yield curve: a dynamic latent factor approach
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