메뉴 건너뛰기




Volumn 27, Issue 4, 2009, Pages 492-503

Forecasting recessions: The puzzle of the enduring power of the yield curve

Author keywords

Probability forecasts; Real time; Yield spread

Indexed keywords


EID: 70349934738     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.07213     Document Type: Article
Times cited : (196)

References (33)
  • 1
    • 33644514387 scopus 로고    scopus 로고
    • What does the yield curve tell us about growth?
    • Ang, A., Piazzesi, M., and Wei, M. 2006, "What Does the Yield Curve Tell Us About Growth?" Journal of Econometrics, 131, 359-403.
    • (2006) Journal of Econometrics , vol.131 , pp. 359-403
    • Ang, A.1    Piazzesi, M.2    Wei, M.3
  • 3
    • 34248575833 scopus 로고    scopus 로고
    • Macroeconomic volatility, predictability and uncertainty in the great moderation: Evidence from the survey of professional forecasters
    • Campbell, S. D. 2007, "Macroeconomic Volatility, Predictability and Uncertainty in the Great Moderation: Evidence From the Survey of Professional Forecasters," Journal of Business & Economic Statistics, 25, 191-200.
    • (2007) Journal of Business & Economic Statistics , vol.25 , pp. 191-200
    • Campbell, S.D.1
  • 4
    • 15544388646 scopus 로고    scopus 로고
    • Predicting a recession: Evidence from the yield curve in the presence of structural breaks
    • Chauvet, M., and Potter, S. 2005, "Predicting a Recession: Evidence From the Yield Curve in the Presence of Structural Breaks," Journal of Forecasting, 24, 77-103.
    • (2005) Journal of Forecasting , vol.24 , pp. 77-103
    • Chauvet, M.1    Potter, S.2
  • 6
    • 67649342374 scopus 로고    scopus 로고
    • Predictive density evaluation
    • C. W. J. Granger, G. Elliot, and A. Timmermann, Amsterdam: Elsevier
    • Corradi, V., and Swanson, N. R. 2006, "Predictive Density Evaluation," in Handbook of Economic Forecasting, eds. C. W. J. Granger, G. Elliot, and A. Timmermann, Amsterdam: Elsevier, pp. 197-284.
    • (2006) Handbook of Economic Forecasting , pp. 197-284
    • Corradi, V.1    Swanson, N.R.2
  • 11
    • 84888921767 scopus 로고
    • Forecasting output with the composite leading index: A real-time analysis
    • - (1991a), "Forecasting Output With the Composite Leading Index: A Real-Time Analysis," Journal of the American Statistical Association, 86, 603-610.
    • (1991) Journal of the American Statistical Association , vol.86 , pp. 603-610
  • 12
    • 0040231139 scopus 로고
    • Turning point prediction with the composite leading index: An ex ante analysis
    • K. Lahiri and G. H. Moore, Cambridge: Cambridge University Press
    • - (1991b), "Turning Point Prediction With the Composite Leading Index: An ex ante Analysis," in Leading Economic Indicators: New Approaches and Forecasting Records, eds. K. Lahiri and G. H. Moore, Cambridge: Cambridge University Press, pp. 231-256.
    • (1991) Leading Economic Indicators: New Approaches and Forecasting Records , pp. 231-256
  • 13
    • 0001041655 scopus 로고
    • Have postwar economic fluctuations been stabilized?
    • - (1992), "Have Postwar Economic Fluctuations Been Stabilized?" American Economic Review, 82, 993-1005.
    • (1992) American Economic Review , vol.82 , pp. 993-1005
  • 14
    • 0030530151 scopus 로고    scopus 로고
    • Measuring business cycles: A modern perspective
    • - (1996), "Measuring Business Cycles: A Modern Perspective," Review of Economics and Statistics, 78, 67-77.
    • (1996) Review of Economics and Statistics , vol.78 , pp. 67-77
  • 15
    • 0002973491 scopus 로고    scopus 로고
    • The predictive content of the interest rate term spread for future economic growth
    • Dotsey, M. 1998, "The Predictive Content of the Interest Rate Term Spread for Future Economic Growth," Federal Reserve Bank of Richmond Economic Quarterly, 84, 31-51.
    • (1998) Federal Reserve Bank of Richmond Economic Quarterly , vol.84 , pp. 31-51
    • Dotsey, M.1
  • 16
    • 27744538368 scopus 로고    scopus 로고
    • Estimation and testing of forecast rationality under flexible loss
    • Elliot, G., Komunjer, I., and Timmermann, A. 2005, "Estimation and Testing of Forecast Rationality Under Flexible Loss," Review of Economic Studies, 72, 1107-1125.
    • (2005) Review of Economic Studies , vol.72 , pp. 1107-1125
    • Elliot, G.1    Komunjer, I.2    Timmermann, A.3
  • 17
    • 28144448821 scopus 로고    scopus 로고
    • Why does the yield curve predict output and inflation?
    • Estrella, A. 2005, "Why Does the Yield Curve Predict Output and Inflation?" The Economic Journal, 115, 722-744.
    • (2005) The Economic Journal , vol.115 , pp. 722-744
    • Estrella, A.1
  • 18
    • 84977702570 scopus 로고
    • The term structure as a predictor of real economic activity
    • Estrella, A., and Hardouvelis, G. A. 1991, "The Term Structure as a Predictor of Real Economic Activity," The Journal of Finance, 46, 555-576.
    • (1991) The Journal of Finance , vol.46 , pp. 555-576
    • Estrella, A.1    Hardouvelis, G.A.2
  • 19
    • 0039066423 scopus 로고    scopus 로고
    • Predicting U.S. Recessions: Financial Variables as Leading Indicators
    • Estrella, A., and Mishkin, F. S. 1998, "Predicting U.S. Recessions: Financial Variables as Leading Indicators," The Review of Economics and Statistics, 80, 45-61. (Pubitemid 128071465)
    • (1998) Review of Economics and Statistics , vol.80 , Issue.1 , pp. 45-61
    • Estrella, A.1    Mishkin, F.S.2
  • 21
    • 0242680102 scopus 로고    scopus 로고
    • How stable is the predictive power of the yield curve? evidence from germany and the united states
    • Estrella, A., Rodrigues, A. P., and Schich, S. 2003, "How Stable Is the Predictive Power of the Yield Curve? Evidence From Germany and the United States," Review of Economics and Statistics, 85, 629-644.
    • (2003) Review of Economics and Statistics , vol.85 , pp. 629-644
    • Estrella, A.1    Rodrigues, A.P.2    Schich, S.3
  • 24
    • 0003373717 scopus 로고
    • Forecasts of economic growth from the bond and stock markets
    • September/October
    • Harvey, C. R. 1989, "Forecasts of Economic Growth From the Bond and Stock Markets," Financial Analysts Journal, September/October, 38-45.
    • (1989) Financial Analysts Journal , pp. 38-45
    • Harvey, C.R.1
  • 25
    • 0036374707 scopus 로고    scopus 로고
    • Heteroskedasticity-autocorrelation robust standard errors using the bartlett kernel without truncation
    • Kiefer, N. M., and Vogelsang, T. V. 2002, "Heteroskedasticity- Autocorrelation Robust Standard Errors Using the Bartlett Kernel Without Truncation," Econometrica, 70 (5), 2093-2095.
    • (2002) Econometrica , vol.70 , Issue.5 , pp. 2093-2095
    • Kiefer, N.M.1    Vogelsang, T.V.2
  • 26
    • 0000328680 scopus 로고    scopus 로고
    • Simple robust testing of regression hypotheses
    • Kiefer, N. M., Vogelsang, T. J., and Bunzel, H. 2000, "Simple Robust Testing of Regression Hypotheses," Econometrica, 68 (3), 695-714.
    • (2000) Econometrica , vol.68 , Issue.3 , pp. 695-714
    • Kiefer, N.M.1    Vogelsang, T.J.2    Bunzel, H.3
  • 27
    • 37849188433 scopus 로고    scopus 로고
    • Subjective probability: Forecasts for recessions
    • Lahiri, K., and Wang, G. J. 2006, "Subjective Probability: Forecasts for Recessions," Business Economics, 41, 26-36.
    • (2006) Business Economics , vol.41 , pp. 26-36
    • Lahiri, K.1    Wang, G.J.2
  • 28
    • 27744511238 scopus 로고    scopus 로고
    • National Bureau of Economic Researc unpublished manuscript, National Bureau of Economic Research
    • National Bureau of Economic Researc. 2003, "The NBER's Business-Cycle Dating Procedure," unpublished manuscript, National Bureau of Economic Research.
    • (2003) The NBER's Business-cycle Dating Procedure
  • 29
    • 0000076932 scopus 로고
    • New indices of coincident and leading indicators
    • O. Blanchard and S. Fischer, Cambridge, MA: MIT Press
    • Stock, J. H., and Watson, M. W. 1989, "New Indices of Coincident and Leading Indicators," in NBER Macroeconomic Annual 4, eds. O. Blanchard and S. Fischer, Cambridge, MA: MIT Press, pp. 351-394.
    • (1989) NBER Macroeconomic Annual 4 , pp. 351-394
    • Stock, J.H.1    Watson, M.W.2
  • 31
    • 0030353235 scopus 로고    scopus 로고
    • Asymptotic inference about predictive ability
    • West, K. D. 1996, "Asymptotic Inference About Predictive Ability," Econometrica, 64 (5), 1067-1084.
    • (1996) Econometrica , vol.64 , Issue.5 , pp. 1067-1084
    • West, K.D.1
  • 32
    • 51349168605 scopus 로고    scopus 로고
    • Finance and Economics Discussion Series 2006-07, Federal Reserve Board
    • Wright, J. 2006, "The Yield Curve and Predicting Recessions," Finance and Economics Discussion Series 2006-07, Federal Reserve Board.
    • (2006) The Yield Curve and Predicting Recessions
    • Wright, J.1
  • 33
    • 0002967545 scopus 로고
    • Twenty-two years of the nber-asa quarterly economic outlook surveys: Aspects and comparisons of forecasting performance
    • J. H. Stock and M. W. Watson, Chicago: University of Chicago Press
    • Zarnowitz, V., and Braun, P. A. 1993, "Twenty-Two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," in Business Cycles, Indicators, and Forecasting, eds. J. H. Stock and M. W. Watson, Chicago: University of Chicago Press.
    • (1993) Business Cycles, Indicators, and Forecasting
    • Zarnowitz, V.1    Braun, P.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.