메뉴 건너뛰기




Volumn 85, Issue 3, 2003, Pages 629-644

How stable is the predictive power of the yield curve? Evidence from Germany and the United States

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0242680102     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465303322369777     Document Type: Article
Times cited : (173)

References (53)
  • 1
    • 0001162133 scopus 로고
    • Tests for Parameter Instability and Structural Change with Unknown Change Point
    • Andrews, Donald W. K., "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica 61:4 (1993), 821-856.
    • (1993) Econometrica , vol.61 , Issue.4 , pp. 821-856
    • Andrews, D.W.K.1
  • 2
    • 84963021955 scopus 로고
    • Inference in Non-linear Econometric Models with Structural Change
    • Andrews, Donald W. K., and Ray C. Fair, "Inference in Non-linear Econometric Models with Structural Change," Review of Economic Studies 55 (1988), 615-640.
    • (1988) Review of Economic Studies , vol.55 , pp. 615-640
    • Andrews, D.W.K.1    Fair, R.C.2
  • 3
    • 0346906789 scopus 로고    scopus 로고
    • Estimating and Testing Linear Models with Multiple Structural Changes
    • Bai, Jushan, and Pierre Perron, "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica 66:1 (1998), 47-78.
    • (1998) Econometrica , vol.66 , Issue.1 , pp. 47-78
    • Bai, J.1    Perron, P.2
  • 4
    • 0006853070 scopus 로고    scopus 로고
    • The Information Content of the Yield Curve for Monetary Policy: A Survey
    • Berk, Jan Marc, "The Information Content of the Yield Curve for Monetary Policy: A Survey," De Economist 146 (1998), 303-320.
    • (1998) De Economist , vol.146 , pp. 303-320
    • Berk, J.M.1
  • 8
    • 0032771542 scopus 로고    scopus 로고
    • By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    • Campbell, John Y., and John H. Cochrane, "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," The Journal of Political Economy 107:2 (1999), 205-251.
    • (1999) The Journal of Political Economy , vol.107 , Issue.2 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 10
    • 84977738382 scopus 로고
    • Financial Investment Opportunities and the Macro-economy
    • Chen, Nai-Fu, "Financial Investment Opportunities and the Macro-economy," Journal of Finance 46 (1991), 529-554.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.-F.1
  • 11
    • 0031314630 scopus 로고    scopus 로고
    • Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in E.U. Countries?
    • Davis, E. Philip, and Gabriel Fagan, "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in E.U. Countries?" Journal of Applied Econometrics 12 (1997), 701-714.
    • (1997) Journal of Applied Econometrics , vol.12 , pp. 701-714
    • Davis, E.P.1    Fagan, G.2
  • 12
    • 0001377882 scopus 로고
    • The Use of Financial Spreads as Indicator Variables: Evidence for the United Kingdom and Germany
    • I.M.F., Washington, DC
    • Davis, E. Philip, and S. G. B. Henry, "The Use of Financial Spreads as Indicator Variables: Evidence for the United Kingdom and Germany," Staff Papers 41, I.M.F., Washington, DC (1994), 517-525.
    • (1994) Staff Papers , vol.41 , pp. 517-525
    • Davis, E.P.1    Henry, S.G.B.2
  • 13
    • 84963160141 scopus 로고
    • Crossing Probabilities for a Square Root Boundary by a Bessel Process
    • DeLong, David M., "Crossing Probabilities for a Square Root Boundary by a Bessel Process," Communications in Statistics - Theory and Methods A10:21 (1981), 2197-2213.
    • (1981) Communications in Statistics - Theory and Methods , vol.A10 , Issue.21 , pp. 2197-2213
    • Delong, D.M.1
  • 15
    • 0002973491 scopus 로고    scopus 로고
    • The Predictive Content of the Interest Rate Term Spread for Future Economic Growth
    • Federal Reserve Bank of Richmond
    • Dotsey, Michael, "The Predictive Content of the Interest Rate Term Spread for Future Economic Growth," Economic Quarterly 84, Federal Reserve Bank of Richmond (1998), 31-51.
    • (1998) Economic Quarterly , vol.84 , pp. 31-51
    • Dotsey, M.1
  • 16
    • 0032342631 scopus 로고    scopus 로고
    • A New Measure of Fit for Equations with Dichotomous Dependent Variables
    • Estrella, Arturo, "A New Measure of Fit for Equations with Dichotomous Dependent Variables," Journal of Business and Economic Statistics 16 (1998), 198-205.
    • (1998) Journal of Business and Economic Statistics , vol.16 , pp. 198-205
    • Estrella, A.1
  • 17
    • 7244233250 scopus 로고    scopus 로고
    • Why Does the Yield Curve Predict Output and Inflation?
    • Federal Reserve Bank of New York
    • Estrella, Arturo, "Why Does the Yield Curve Predict Output and Inflation?" Working Paper, Federal Reserve Bank of New York (2003).
    • (2003) Working Paper
    • Estrella, A.1
  • 18
    • 0000321564 scopus 로고    scopus 로고
    • Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational Expectations Models
    • Estrella, Arturo, and Jeffrey C. Fuhrer, "Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational Expectations Models," American Economic Review 92 (2002), 1013-1028.
    • (2002) American Economic Review , vol.92 , pp. 1013-1028
    • Estrella, A.1    Fuhrer, J.C.2
  • 19
    • 84977702570 scopus 로고
    • The Term Structure as a Predictor of Real Economic Activity
    • Estrella, Arturo, and Gikas Hardouvelis, "The Term Structure as a Predictor of Real Economic Activity," Journal of Finance 46 (1991), 555-576.
    • (1991) Journal of Finance , vol.46 , pp. 555-576
    • Estrella, A.1    Hardouvelis, G.2
  • 20
    • 0001119285 scopus 로고    scopus 로고
    • The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for The European Central Bank
    • Estrella, Arturo, and Frederic S. Mishkin, "The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for The European Central Bank," European Economic Review 41 (1997), 1375-1401.
    • (1997) European Economic Review , vol.41 , pp. 1375-1401
    • Estrella, A.1    Mishkin, F.S.2
  • 21
    • 0039066423 scopus 로고    scopus 로고
    • Predicting U.S. Recessions: Financial Variables as Leading Indicators
    • Estrella, Arturo, and Frederic S. Mishkin, "Predicting U.S. Recessions: Financial Variables as Leading Indicators," Review of Economics and Statistics 80 (1998), 45-61.
    • (1998) Review of Economics and Statistics , vol.80 , pp. 45-61
    • Estrella, A.1    Mishkin, F.S.2
  • 23
    • 0006161982 scopus 로고    scopus 로고
    • How Reliable are Recession Prediction Models?
    • Federal Reserve Bank of Kansas City
    • Filardo, Andrew J., "How Reliable are Recession Prediction Models?" Economic Review 83, Federal Reserve Bank of Kansas City (1999), 35-55.
    • (1999) Economic Review , vol.83 , pp. 35-55
    • Filardo, A.J.1
  • 24
    • 0038466761 scopus 로고
    • Fitting the Term Structure of Interest Rates with Smoothing Splines
    • Federal Reserve Board, Washington, DC
    • Fisher, Mark, Douglas Nychka, and David Zervos, "Fitting the Term Structure of Interest Rates with Smoothing Splines," FEDS working paper no. 95-1, Federal Reserve Board, Washington, DC (1995).
    • (1995) FEDS Working Paper No. 95-1 , vol.95 , Issue.1
    • Fisher, M.1    Nychka, D.2    Zervos, D.3
  • 25
    • 0042594287 scopus 로고    scopus 로고
    • The Policy Content of the Yield Curve Slope
    • Gamber, Edward N., "The Policy Content of the Yield Curve Slope," Review of Financial Economics 5:2 (1996), 163-179.
    • (1996) Review of Financial Economics , vol.5 , Issue.2 , pp. 163-179
    • Gamber, E.N.1
  • 26
    • 0031391587 scopus 로고    scopus 로고
    • The Information Content of the Term Structure: Evidence for Germany
    • Gerlach, Stefan, "The Information Content of the Term Structure: Evidence for Germany," Empirical Economics 22:2 (1997), 161-179.
    • (1997) Empirical Economics , vol.22 , Issue.2 , pp. 161-179
    • Gerlach, S.1
  • 27
    • 0041853055 scopus 로고    scopus 로고
    • Predictive Tests for Structural Change with Unknown Breakpoint
    • Ghysels, Eric, Alain Quay, and Alastair Hall, "Predictive Tests for Structural Change with Unknown Breakpoint," Journal of Econometrics 82 (1997), 209-233.
    • (1997) Journal of Econometrics , vol.82 , pp. 209-233
    • Ghysels, E.1    Quay, A.2    Hall, A.3
  • 28
    • 0001645275 scopus 로고
    • A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator: Small Sample Properties
    • Ghysels, Eric, and Alastair Hall, "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator: Small Sample Properties," International Economic Review 31:2 (1990), 355-365.
    • (1990) International Economic Review , vol.31 , Issue.2 , pp. 355-365
    • Ghysels, E.1    Hall, A.2
  • 29
    • 0001881458 scopus 로고    scopus 로고
    • Testing for Structural Change in Conditional Models
    • Hansen, Bruce E., "Testing for Structural Change in Conditional Models," Journal of Econometrics 97 (2000), 93-115.
    • (2000) Journal of Econometrics , vol.97 , pp. 93-115
    • Hansen, B.E.1
  • 30
    • 0000414660 scopus 로고
    • Large Sample Properties of Generalized Method of Moments Estimators
    • Hansen, Lars Peter, "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica 50 (1982), 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 31
    • 0003109543 scopus 로고
    • The Real Term Structure and Consumption Growth
    • Harvey, Campbell, "The Real Term Structure and Consumption Growth," Journal of Financial Economics 22:2 (1988), 305-333.
    • (1988) Journal of Financial Economics , vol.22 , Issue.2 , pp. 305-333
    • Harvey, C.1
  • 32
    • 0001441493 scopus 로고
    • Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates
    • Spring
    • Huizinga, John, and Frederic S. Mishkin, "Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates," Carnegie-Rochester Conference Series on Public Policy 24 (Spring 1986), 231-274.
    • (1986) Carnegie-Rochester Conference Series on Public Policy , vol.24 , pp. 231-274
    • Huizinga, J.1    Mishkin, F.S.2
  • 33
    • 0002795424 scopus 로고
    • A Multicountry Comparison of Term-Structure Forecasts at Long Horizons
    • Jorion, Philippe, and Frederic S. Mishkin, "A Multicountry Comparison of Term-Structure Forecasts at Long Horizons," Journal of Financial Economics 29 (1991), 59-80.
    • (1991) Journal of Financial Economics , vol.29 , pp. 59-80
    • Jorion, P.1    Mishkin, F.S.2
  • 34
    • 0000618947 scopus 로고
    • Future Inflation and the Information in International Term Structures
    • Koedijk, Kees G., and Clemens J. M. Kool, "Future Inflation and the Information in International Term Structures," Empirical Economics 20 (1995), 217-242.
    • (1995) Empirical Economics , vol.20 , pp. 217-242
    • Koedijk, K.G.1    Kool, C.J.M.2
  • 35
    • 0002521393 scopus 로고    scopus 로고
    • Predicting Real Growth and Inflation with the Yield Spread
    • Federal Reserve Bank of Kansas City
    • Kozicki, Sharon, "Predicting Real Growth and Inflation with the Yield Spread," Economic Review 82, Federal Reserve Bank of Kansas City (1997), 39-57.
    • (1997) Economic Review , vol.82 , pp. 39-57
    • Kozicki, S.1
  • 36
    • 0008423770 scopus 로고
    • The Workweek of Capital and its Cyclical Implications
    • Kydland, Finn E., and Edward C. Prescott, "The Workweek of Capital and its Cyclical Implications," Journal of Monetary Economics 21 (1988), 343-360.
    • (1988) Journal of Monetary Economics , vol.21 , pp. 343-360
    • Kydland, F.E.1    Prescott, E.C.2
  • 37
    • 0002228805 scopus 로고
    • An Interest Rate-Based Indicator of Monetary Policy
    • Federal Reserve Bank of Chicago
    • Laurent, Robert D., "An Interest Rate-Based Indicator of Monetary Policy," Economic Perspectives 12, Federal Reserve Bank of Chicago (1988).
    • (1988) Economic Perspectives , vol.12
    • Laurent, R.D.1
  • 38
    • 0002036449 scopus 로고
    • Testing the Spread
    • Federal Reserve Bank of Chicago
    • Laurent, Robert D., "Testing the Spread," Economic Perspectives 13, Federal Reserve Bank of Chicago (1989).
    • (1989) Economic Perspectives , vol.13
    • Laurent, R.D.1
  • 39
    • 0000807650 scopus 로고
    • The Tax-Adjusted Yield Curve
    • McCulloch, J. Huston, "The Tax-Adjusted Yield Curve," Journal of Finance 30:3 (1975), 811-830.
    • (1975) Journal of Finance , vol.30 , Issue.3 , pp. 811-830
    • McCulloch, J.H.1
  • 41
    • 0001080109 scopus 로고
    • The Information in the Longer Maturity Term Structure about Future Inflation
    • Mishkin, Frederic S., "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics CV:442 (1990a), 815-828.
    • (1990) The Quarterly Journal of Economics , vol.105 , Issue.442 , pp. 815-828
    • Mishkin, F.S.1
  • 42
    • 45149137336 scopus 로고
    • What Does the Term Structure Tell Us about Future Inflation?
    • Mishkin, Frederic S., "What Does the Term Structure Tell Us about Future Inflation?" Journal of Monetary Economics 25 (1990b), 77-95.
    • (1990) Journal of Monetary Economics , vol.25 , pp. 77-95
    • Mishkin, F.S.1
  • 43
    • 44949279753 scopus 로고
    • A Multi-country Study of the Information in the Shorter Maturity Term Structure about Future Inflation
    • Mishkin, Frederic S., "A Multi-country Study of the Information in the Shorter Maturity Term Structure about Future Inflation," Journal of International Money and Finance 10 (1991), 2-22.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 2-22
    • Mishkin, F.S.1
  • 44
    • 0000706085 scopus 로고
    • A Simple Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
    • Newey, Whitney K., and Kenneth D. West, "A Simple Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica 55 (1987), 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 45
    • 0001443582 scopus 로고
    • International Term Structures and Real Economic Growth
    • Plosser, Charles I., and K. Geert Rouwenhorst, "International Term Structures and Real Economic Growth," Journal of Monetary Economics 33 (1994), 133-155.
    • (1994) Journal of Monetary Economics , vol.33 , pp. 133-155
    • Plosser, C.I.1    Rouwenhorst, K.G.2
  • 47
    • 0242420976 scopus 로고    scopus 로고
    • Alternative Specifications of the German Term Structure and its Information Content Regarding Inflation
    • Schich, Sebastian, "Alternative Specifications of the German Term Structure and its Information Content Regarding Inflation," Deutsche Bundesbank discussion paper no. 8/96 (1996).
    • (1996) Deutsche Bundesbank Discussion Paper No. 8/96 , vol.8
    • Schich, S.1
  • 48
    • 0000355895 scopus 로고    scopus 로고
    • The Information Content of the German Term Structure Regarding Inflation
    • Schich, Sebastian, "The Information Content of the German Term Structure Regarding Inflation," Applied Financial Economics 9 (1999a), 385-395.
    • (1999) Applied Financial Economics , vol.9 , pp. 385-395
    • Schich, S.1
  • 49
    • 0242420977 scopus 로고    scopus 로고
    • What the Yield Curves Say about Inflation: Does It Change Over Time?
    • Schich, Sebastian, "What the Yield Curves Say about Inflation: Does It Change Over Time?" OECD Economics Department working paper no. 227 (1999b).
    • (1999) OECD Economics Department Working Paper No. 227 , vol.227
    • Schich, S.1
  • 50
    • 0000076932 scopus 로고
    • New Indexes of Coincident and Leading Indicators
    • O. J. Blanchard and S. Fischer (Eds.), Cambridge, MA: MIT Press
    • Stock, James H., and Mark W. Watson, "New Indexes of Coincident and Leading Indicators," in O. J. Blanchard and S. Fischer (Eds.), NBER Macroeconomics Annual (Cambridge, MA: MIT Press, 1989).
    • (1989) NBER Macroeconomics Annual
    • Stock, J.H.1    Watson, M.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.