How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States

By Arturo Estrella, A. Rodrigues, Sebastian Schich. Review of Economics and Statistics, 2003

357 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b7402bf543c2096f97444679298be998992ec6e3

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Citations in the corpus

How Stable is the Forecasting Performance of the Yield Curve for Output Growth (2006, background): “The third type of statistic we consider is the tm,n, test for forecast breakdown proposed in Giacomini and Rossi (2005), which detects past forecast breakdowns.”
Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature (2009, background): “Estrella, Rodrigues, and Schich (2003), however, detect no breaks in longer-horizon forecasting models for the United States or in short-or long-horizon models estimated using data for Germany. find that the spread predicts future changes in output growth in forecasting models that include the…”
Dynamic Probit Models and Financial Variables in Recession Forecasting (2010, methodology): “We examined this by using the LM test proposed by Andrews and Fair (1988) and applied by Kauppi (2008) in the context of probit model when testing potential structural break dates suggested by Estrella et al. (2003).”
The Yield Curve and Predicting Recessions (2006, background): “Giacomini and Rossi (2005) and Estrella, Rodrigues, and Schich (2003) find evidence that the predictive power of the yield curve for growth has weakened since the 1980s.”
Optimal forecasts in the presence of structural breaks (2011, background): “However, recent evidence suggests that the relationship between GDP growth and the yield curve may be subject to structural breaks (Estrella et al., 2003; Giacomini and Rossi, 2006; Schrimpf andWang, 2010).”
Forecasting recessions using the yield curve (2005, background): “n=1 μ Q t∈Rn Φn[β0 + β1St−K ] Q t∈En {[1−Φn[β0 + β1St−K ]} ¶ , (8)”
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (2008, neutral): “In the theory, we show a weighted average forecast to be at least as accurate, and often more accurate, than any forecast based on a single estimation sample, even when the single sample is optimized to maximize forecast accuracy.”
Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities (2005, background): “Estrella et al. (2003) briefly present several possible explanations for the positive empirical relationship between the slope of the yield curve and real activity.”
Why Does the Yield Curve Predict Output and Inflation (2005, neutral): “This phenomenon was pointed out by Gali and Gertler (1999) in the case of equation (4) and analyzed in detail for a class of models that includes both the IS and Phillips equations by Estrella and Fuhrer (2002).”