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

Journal of Economic Dynamics and Control

Volumn 32, Issue 4, 2008, Pages 1236-1272

  Benati, Luca ^a   Goodhart, Charles ^b  

^a BANK OF ENGLAND   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Bayesian VARs; Frequency domain; Great inflation; Median unbiased estimation; Monte Carlo integration; Stochastic volatility; Time varying parameters; Volcker disinflation

Indexed keywords

EID: 40749094344     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2007.05.005     Document Type: Article

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