Why Does the Yield Curve Predict Output and Inflation

By Arturo Estrella. 2005

323 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4d3ebf058585b36dd04470124facfd28f19fc7ee

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In Economics and Econometrics

Citations in the corpus

Has inflation become harder to forecast (2005, background): “…coefficients is both challenging (because of weak instruments) and may be uninformative (because stability tests my have low power). discussion in Estrella (2005), who explains the post-80s failure of the term structure to have predictive content for inflation in terms of changes in Fed policy).”
Why Has U.S. Inflation Become Harder to Forecast (2007, background): “discussion in Estrella (2005), who explains the post-80s failure of the term structure to have predictive content for inflation in terms of changes in Fed policy).”
The Two Pillars of the European Central Bank (2004, unknown): “Similarly, the information content of the slope of the term structure of interest rates may depend on the nature of the monetary policy regime, as demonstrated by Estrella (2003). Another potential argument against the use of money as an information variable is that while it is correlated with futur”
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (2014, unknown): “…the term spread above has often been found the best leading indicator in the surveys of Stock and Watson (2003) and Wheelock and Wohar (2009), and Estrella (2005) for a rational expectations model that justi es the predictive power of the term spread by expectations of future monetary policy.”
Dynamic Probit Models and Financial Variables in Recession Forecasting (2010, methodology): “Among others, Estrella and Mishkin (1998) and Kauppi and Saikkonen (2007) have emphasized the importance of these selections.”
The Yield Curve and the Macro-economy across Time and Frequencies" (Cef.up Working Paper nº. 2010-04, July 2010) (2012, background): “…literature has focused on the ability of the yield curve to predict real activity or inflation, in theory there could be influences in the opposite direction — see e.g. Estrella (2005) — essentially through the feed-back from the macroeconomy to monetary policy and its impact on the yield curve.”
Assessing the Economy-Wide Effects of Quantitative Easing (2012, unknown): “The link between government bond spreads and macroeconomic variables is given a structural interpretation in, for example, Estrella (2005).”
Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock (2011, methodology): “In addition, real estate returns are linked to the macroeconomy and business conditions (Ling and Naranjo 1997; Liu and Mei 1992), and term spread has been identified to have considerable predictive power on future economic activity (Laurent 1988; Fama and French 1989; Estrella and Hardouvelis 1991;”