A Reexamination of the Predictability of Economic Activity Using the Yield Spread

By James D. Hamilton, D. H. Kim. 2002

363 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/884077c71298ada0228b4ac6ae0e6bba6451416d

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Citations in the corpus

Affine Term Structure Models (2010, neutral): “…Bliss (1987), Campbell and Shiller (1991), Cochrane and Piazzesi (2002)), but also real activity (Harvey (1988), Estrella and Hardouvelis (1991), Hamilton and Kim (2002), Ang, Piazzesi, and Wei (2002)) and inflation (Mishkin (1990), Fama (1990)), even though these forecasting relationships may…”
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (2008, neutral): “GDP growth with lagged growth, an interest rate term spread, and the change in the short-term interest rate (examples: Estrella and Hardouvelis (1991), Hamilton and Kim (2002), and Stock and Watson (2003)).”
Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets (2009, background): “In a related vein, an extensive empirical literature has emphasized the extent to which the slope of the yield curve—the so-called term spread— provides a signal for forecasting economic growth or for assessing the near-term risk of recession; see, for example, Dotsey [1998], Estrella and Hardouveli”
Aggregate Loans to the Euro Area Private Sector (2003, methodology): “The analysis of the leading indicator properties of the loan overhang/shortfall on inflation based on the Hamilton and Kim (2002) methodology suggests that this indicator should provide relevant information about future changes in inflation but not on its level.”
International Bond Risk Premia (2013, neutral): “We investigate this further by analyzing the relationship between the 16See, e.g., Hamilton and Kim (2002), Wright (2006), Ang et al. (2006), and Rudebusch et al. (2007).”
Credit Risk and the Macroeconomy: Evidence from an Estimated DSGE Model (2009, background): “As emphasized by Hamilton and Kim [2002] and Ang, Piazzesi, and Wei [2006], the term premium and expectations hypothesis components of the term spread have very different correlations with future economic growth.”
Forecasting recessions using the yield curve (2005, background): “…possible reasons for parameter instability of models using the yield curve is that its predictive power may depend on whether the economy is responding to real or monetary shocks (and implicitly on the monetary policy reaction function see Hamilton and Kim 2000 for a decomposition of the spread).”
The Yield Curve and the Macro-economy across Time and Frequencies" (Cef.up Working Paper nº. 2010-04, July 2010) (2012, background): “However, Hamilton and Kim (2002) found that both components make statistically significant contributions, similar at short horizons but larger for the expectations component for predicting output more than two years ahead (with interest rate volatility explaining part of the contribution of the…”
Testing for short- and long-run causality: A frequency-domain approach (2006, background): “Accordingly, the yield spread is a reliable leading indicator of economic activity up to one year ahead (e.g. Estrella and Hardouvelis, 1991; Plosser and Rouwenhorst, 1994; Bonser-Neal and Morley, 1997; Hamilton and Kim, 2002).”
The Yield Curve and Predicting Recessions (2006, background): “Hamilton and Kim (2002), and Ang, Piazzesi, and Wei (2006) have argued that the term premium and expectations hypothesis components of the term spread have quite different statistical correlations with future growth.”