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

DOI10.1016/J.JEDC.2007.05.005zbMATH Open1181.91271OpenAlexW3121269181MaRDI QIDQ844643FDOQ844643

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

Recommendations

• The relation between the corporate bond-yield spread and the real economy: stable or time-varying?
• The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
• Time Varying Structural Vector Autoregressions and Monetary Policy
• The yield curve and the macro-economy across time and frequencies
• What does the yield curve tell us about GDP growth?

zbMATH Keywords

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

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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

Cited In (3)

• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• The yield curve and the macro-economy across time and frequencies
• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework

Uses Software

• bvarsv

This page was built for publication: Investigating time-variation in the marginal predictive power of the yield spread

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q844643)