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

DOI10.1016/J.JEDC.2007.05.005MaRDI QIDQ844643zbMATHOpenAlexFDO

Authors Luca Benati, Charles. A. E. Goodhart

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

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

zbMATH Keywords

stochastic volatilityfrequency domainMonte Carlo integrationBayesian VARstime-varying parametersgreat inflationmedian-unbiased estimationVolcker disinflation

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Drift and breaks in labor productivity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• On Gibbs sampling for state space models
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Structural changes in the US economy: is there a role for monetary policy?
• Testing for the Constancy of Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(5)

• Spreads versus professional forecasters as predictors of future output change
• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• The yield curve and the macro-economy across time and frequencies
• The relation between the corporate bond-yield spread and the real economy: stable or time-varying?

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Uses Software

• bvarsv

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