The Yield Curve as a Leading Indicator: Some Practical Issues

By Arturo Estrella, Mary R. Trubin. 2006

200 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5cf7fccba5865f1c81c842817bb35cc9a204fa9d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock (2011, methodology): “For the spread SPR, we follow Estrella and Trubin (2006) by choosing the spread between 10-year Treasury bond yield and 3-month Treasury bill rate, and both are released by the Federal Reserve Board of Governors.”
Forecasting US Recessions: The Role of Sentiment (2014, unknown): “We use the same de nition of recessions as Estrella and Trubin (2006).”
The Yield Curve and the Macro-economy across Time and Frequencies" (Cef.up Working Paper nº. 2010-04, July 2010) (2012, background): “Decomposing the yield slope is beyond the scope of this paper. the yield slope has a good record in forecasting recessions in real-time (see e.g. Estrella and Trubin, 2006) and has marginal predictive power for U.S. recessions over the Survey of Professional Forecasters (Rudebusch and Williams,…”
How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods (2010, background): “Moreover, since the yield spread seems to outperform other variables at long term forecasting horizons that are relevant from an investor's point of view, this variable is more forward-looking than other leading indicators (Estrella and Hardouvelis, 1991, Estrella and Trubin, 2006).”
The Financial Stress Index: Identification of Systemic Risk Conditions (2011, unknown): “47 See Estrella and Hardouvelis (1991), Estrella and Mishkin (1996), Estrella and Trubin (2006), Haubrich (2006), and Haubrich and Bianco (2011).”