What does the yield curve tell us about GDP growth

By Andrew Ang, Monika Piazzesi, Min Wei. 2004

470 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e4b492510af6ed2e944c10050b945d1f7966190f

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Citations in the corpus

The Role of Financial Variables in Predicting Economic Activity (2009, unknown): “While several authors have argued that financial variables do not consistently help predicting business cycles (Stock and Watson, 2003), Ang et al. (2006), among others, show that expected yields have a non negligible role in forecasting growth.”
Information in (and not in) the Term Structure (2011, background): “Imposing that requirement is straightforward and done elsewhere, such as Ang, Piazzesi, and Wei (2006).”
Informed and Strategic Order Flow in the Bond Markets (2006, unknown): “[6] Ang, A.”
Forecasting Professional Forecasters (2009, unknown): “…two-year Treasury yields alone) generally gives better out-of-sample predictions for real GDP growth forecasts, which is consistent with the work of Ang, Piazzesi, and Wei (2006) who found that the level of short-term interest rates alone has more predictive power for growth than any term spread.”
Futures Contract Rates as Monetary Policy Forecasts (2012, unknown): “…business-cycle fluctuations has been amply documented in Ang and Piazzesi (2003), Ang, Dong, and Piazzesi (2004), Rudebusch and Wu (2004), Ang, Piazzesi, and Wei (2006), Hördal, Tristani, and Vestin (2006), and Pericoli and Taboga (2006).8 Results for the euro area are reported in the…”
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models (2007, unknown): “Examples of applications using each of these schemes include Campbell and Thompson (2005) and Faust et al. (2005) (recursive) and Cooper et al. (2005) and Ang et al. (2004) (rolling).”
The Yield Curve and the Macro-economy across Time and Frequencies" (Cef.up Working Paper nº. 2010-04, July 2010) (2012, methodology): “Once the values for the coefficients are estimated, they may be straightforwardly used to obtain the notional zero-coupon yields for the residual maturities absent from the raw data.(8) In this paper we use U.”
A MACRO-FINANCE MODEL OF THE TERM STRUCTURE, MONETARY POLICY AND THE ECONOMY* (2003, background): “Other papers have related macro variables to the yield curve using little or no macroeconomic structure, including, for example, Ang and Piazzesi (2003), Ang et al. (2006), Dewachter and Lyrio (2006), Kozicki and Tinsley (2001) and Diebold et al. (2006).”
A model of carbon price interactions with macroeconomic and energy dynamics (2011, methodology): “Besides, yield curves are known to have good properties to predict recessions (see Ang et al. (2006) among others).”
Affine Term Structure Models (2010, unknown): “3The solution to (11) is ξt = exp 3R t 0 σξ (xu) dzu − 12 R t 0 σξ (xu)σξ (xu) > du ́ .”
Real-Time Inflation Forecasting in a Changing World (2009, unknown): “It is well known that the cross section of the term structure can be approximated very well by means of 2–3 factors; see, for example, Ang, Piazzesi, and Wei (2006) and Diebold, Rudebusch, and Aruoba (2006).”
A New Perspective on Gaussian Dynamic Term Structure Models (2011, unknown): “15In fact, within a macro-GDTSM with a similar parametrization of internally consistent market prices of risk and observable factors, Ang, Piazzesi, and Wei (2003) report that OLS estimates of EP[Pt+1|Pt] are (slightly) different from their ML estimates.”