create a website

The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Hillebrand, Eric ; Boldrini, Lorenzo .
In: CREATES Research Papers.
RePEc:aah:create:2015-39.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 46

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ang, A., M. Piazzesi, and M. Wei (2006). What does the yield curve tell us about gdp growth? Journal of Econometrics 131(1), 359–403.

  2. Aoki, M. (1990). State space modeling of time series.
    Paper not yet in RePEc: Add citation now

  3. ardle, W. K., P. Majer, and M. Schienle (2012). Yield curve modeling and forecasting using semiparametric factor dynamics. Technical report, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  4. Aruoba, S. B. and J. Fern andez-Villaverde (2014). A comparison of programming languages in economics.
    Paper not yet in RePEc: Add citation now
  5. Bai, J. and S. Ng (2008a). Forecasting economic time series using targeted predictors. Journal of Econometrics 146(2), 304–317.
    Paper not yet in RePEc: Add citation now
  6. Bai, J. and S. Ng (2008b). Large dimensional factor analysis. Now Publishers Inc.
    Paper not yet in RePEc: Add citation now

  7. Bai, J. and S. Ng (2009). Boosting diffusion indices. Journal of Applied Econometrics 24(4), 607–629.

  8. Bair, E., T. Hastie, D. Paul, and R. Tibshirani (2006). Prediction by supervised principal components. Journal of the American Statistical Association 101(473).

  9. Bernanke, B. (1990). On the predictive power of interest rates and interest rate spreads. Technical report, National Bureau of Economic Research.

  10. Boldrini, L. and E. Hillebrand (2015). Supervision in factor models using a large number of predictors. Technical report, Aarhus University and CREATES.

  11. Breitung, J. and S. Eickmeier (2006). Dynamic factor models. Allgemeines Statistisches Archiv 90(1), 27–42.

  12. Brockwell, P. J. and R. A. Davis (2009). Time series: theory and methods. Springer.
    Paper not yet in RePEc: Add citation now

  13. Chinn, M. D. and K. J. Kucko (2010). The predictive power of the yield curve across countries and time. Technical report, National Bureau of Economic Research.

  14. Clark, T. E. and M. W. McCracken (2011). Advances in forecast evaluation. Federal Reserve Bank of St. Louis Working Paper Series.
    Paper not yet in RePEc: Add citation now

  15. Diebold, F. X. and C. Li (2006). Forecasting the term structure of government bond yields. Journal of econometrics 130(2), 337–364.

  16. Diebold, F., G. Rudebusch, and S. Bora˘ gan Aruoba (2006). The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of econometrics 131(1), 309–338.

  17. Durbin, J. and S. J. Koopman (2012). Time series analysis by state space methods. Oxford University Press.

  18. Estrella, A. and G. A. Hardouvelis (1991). The term structure as a predictor of real economic activity. The Journal of Finance 46(2), 555–576.

  19. Friedman, B. M. and K. Kuttner (1993). Why does the paper-bill spread predict real economic activity? In Business Cycles, Indicators and Forecasting, pp. 213–254. University of Chicago Press.

  20. Friedman, J., T. Hastie, and R. Tibshirani (2001). The elements of statistical learning, Volume 1. Springer series in statistics Springer, Berlin.
    Paper not yet in RePEc: Add citation now

  21. Giacomini, R. and B. Rossi (2006). How stable is the forecasting performance of the yield curve for output growth? Oxford Bulletin of Economics and Statistics 68(s1), 783–795.

  22. Giacomini, R. and H. White (2006). Tests of conditional predictive ability. Econometrica 74(6), 1545–1578.

  23. Giovannelli, A. and T. Proietti (2014). On the selection of common factors for macroeconomic forecasting. G

  24. Hamilton, J. D. and D. H. Kim (2000). A re-examination of the predictability of economic activity using the yield spread. Technical report, National Bureau of Economic Research.

  25. Hansen, N. and A. Ostermeier (1996). Adapting arbitrary normal mutation distributions in evolution strategies: The covariance matrix adaptation. In Evolutionary Computation, 1996., Proceedings of IEEE International Conference on, pp. 312–317. IEEE. H
    Paper not yet in RePEc: Add citation now

  26. Harvey, C. R. (1988). The real term structure and consumption growth. Journal of Financial Economics 22(2), 305–333.

  27. Hillebrand, E. T., H. Huang, T. Lee, and C. Li (2012). Using the yield curve in forecasting output growth and inflation. Technical report, Institut for Økonomi, Aarhus Universitet, Danmark.
    Paper not yet in RePEc: Add citation now
  28. Hogan, R. J. (2013). Fast reverse-mode automatic differentiation using expression templates in C++. Submitted to ACM Trans. Math. Softw.
    Paper not yet in RePEc: Add citation now
  29. Karniadakis, G. E. (2003). Parallel scientific computing in C++ and MPI: a seamless approach to parallel algorithms and their implementation. Cambridge University Press.
    Paper not yet in RePEc: Add citation now

  30. Knez, P. J., R. Litterman, and J. Scheinkman (1994). Explorations into factors explaining money market returns. The Journal of Finance 49(5), 1861–1882.

  31. Koopman, S. J. and J. Durbin (2000). Fast filtering and smoothing for multivariate state space models. Journal of Time Series Analysis 21(3), 281–296.

  32. Koopman, S. J., M. I. Mallee, and M. Van der Wel (2010). Analyzing the term structure of interest rates using the dynamic nelson–siegel model with time-varying parameters. Journal of Business & Economic Statistics 28(3), 329–343.

  33. Kozicki, S. (1997). Predicting real growth and inflation with the yield spread. Economic Review-Federal Reserve Bank of Kansas City 82, 39–58.

  34. Litterman, R. B. and J. Scheinkman (1991). Common factors affecting bond returns. The Journal of Fixed Income 1(1), 54–61.
    Paper not yet in RePEc: Add citation now

  35. Nelson, C. R. and A. F. Siegel (1987). Parsimonious modeling of yield curves. Journal of business, 473–489.

  36. Newey, W. K. and K. D. West (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review 28(3), 777–787.

  37. Press, W. H., S. A. Teukolsky, W. T. Vetterling, and B. P. Flannery (2002). Numerical Recipes in C++ (Second ed.). Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now

  38. Rudebusch, G. D. and J. C. Williams (2009). Forecasting recessions: the puzzle of the enduring power of the yield curve. Journal of Business & Economic Statistics 27(4).

  39. Stock, J. H. and M. W. Watson (1989). New indexes of coincident and leading economic indicators. In NBER Macroeconomics Annual 1989, Volume 4, pp. 351–409. MIT Press.

  40. Stock, J. H. and M. W. Watson (1999a). Business cycle fluctuations in us macroeconomic time series. Handbook of macroeconomics 1, 3–64.
    Paper not yet in RePEc: Add citation now
  41. Stock, J. H. and M. W. Watson (1999b). Forecasting inflation. Journal of Monetary Economics 44(2), 293–335.
    Paper not yet in RePEc: Add citation now
  42. Stock, J. H. and M. W. Watson (2002a). Forecasting using principal components from a large number of predictors. Journal of the American statistical association 97(460), 1167–1179.
    Paper not yet in RePEc: Add citation now
  43. Stock, J. H. and M. W. Watson (2002b). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics 20(2), 147–162.
    Paper not yet in RePEc: Add citation now

  44. Stock, J. H. and M. W. Watson (2011). Dynamic factor models. Oxford Handbook of Economic Forecasting, 35–59.

  45. urkaynak, R. S., B. Sack, and J. H. Wright (2007). The us treasury yield curve: 1961 to the present. Journal of Monetary Economics 54(8), 2291–2304.
    Paper not yet in RePEc: Add citation now
  46. Verma, A. (2000). An introduction to automatic differentiation. CURRENT SCIENCEBANGALORE - 78(7), 804–807.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Specification Analysis of International Treasury Yield Curve Factors. (2014). Tiozzo Pezzoli, Luca ; Pegoraro, Fulvio ; Siegel, A. F..
    In: Working papers.
    RePEc:bfr:banfra:490.

    Full description at Econpapers || Download paper

  2. The relationship between aggregate managed fund flows and share market returns in Australia. (2012). Wickramanayake, Jayasinghe ; Watson, John.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:451-472.

    Full description at Econpapers || Download paper

  3. Retail Credit Premiums and Macroeconomic Developments. (2011). Bruha, Jan.
    In: Occasional Publications - Chapters in Edited Volumes.
    RePEc:cnb:ocpubc:fsr1011/4.

    Full description at Econpapers || Download paper

  4. Does the Interest Risk Premium Predict Housing Prices?. (2010). pragidis, ioannis ; Gogas, Periklis.
    In: DUTH Research Papers in Economics.
    RePEc:ris:duthrp:2010_001.

    Full description at Econpapers || Download paper

  5. News Shocks and the Slope of the Term Structure of Interest Rates. (2010). Otrok, Christopher ; Kurmann, André.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1005.

    Full description at Econpapers || Download paper

  6. Macro-finance models of interest rates and the economy. (2010). Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2010-01.

    Full description at Econpapers || Download paper

  7. GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries. (2010). pragidis, ioannis ; Gogas, Periklis.
    In: Papers.
    RePEc:arx:papers:1005.1326.

    Full description at Econpapers || Download paper

  8. Forecasting output growth by the yield curve: the role of structural breaks. (2009). He, Zhongfang.
    In: MPRA Paper.
    RePEc:pra:mprapa:28208.

    Full description at Econpapers || Download paper

  9. A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles. (2009). Senyuz, Zeynep ; Chauvet, Marcelle.
    In: MPRA Paper.
    RePEc:pra:mprapa:15076.

    Full description at Econpapers || Download paper

  10. Predicting European Union recessions in the euro era: The yield curve as a forecasting tool of economic activity. (2009). Gogas, Periklis ; Chionis, Dionysios ; Pragkidis, Ioannis .
    In: MPRA Paper.
    RePEc:pra:mprapa:13911.

    Full description at Econpapers || Download paper

  11. Forecasting New Zealands economic growth using yield curve information. (2009). Thorsrud, Leif ; Krippner, Leo.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2009/18.

    Full description at Econpapers || Download paper

  12. Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets. (2009). Zakrajšek, Egon ; Yankov, Vladimir ; Gilchrist, Simon ; Zakrajsek, Egon.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14863.

    Full description at Econpapers || Download paper

  13. A Regime Switching Macro-finance Model of the Term Structure. (2009). Xiaoneng, ZHU ; Rahman, Shahidur.
    In: Economic Growth Centre Working Paper Series.
    RePEc:nan:wpaper:0901.

    Full description at Econpapers || Download paper

  14. The Yield Curve as a Predictor and Emerging Economies. (2009). Mehl, Arnaud.
    In: Open Economies Review.
    RePEc:kap:openec:v:20:y:2009:i:5:p:683-716.

    Full description at Econpapers || Download paper

  15. International Interest-Rate Risk Premia in Affine Term Structure Models. (2009). Geiger, Felix.
    In: Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim.
    RePEc:hoh:hohdip:316.

    Full description at Econpapers || Download paper

  16. WHAT MOVES BOND YIELDS IN CHINA?. (2009). Johansson, Anders ; Fan, Longzhen.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-009.

    Full description at Econpapers || Download paper

  17. Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates. (2009). Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-20.

    Full description at Econpapers || Download paper

  18. Frequency-domain analysis of debt service in a macro-finance model for the euro area.. (2009). Renne, Jean-Paul ; Renne, J-P., .
    In: Working papers.
    RePEc:bfr:banfra:261.

    Full description at Econpapers || Download paper

  19. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.. (2009). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Working papers.
    RePEc:bfr:banfra:234.

    Full description at Econpapers || Download paper

  20. The term structure and the expectations hypothesis: a threshold model. (2008). Modena, Matteo.
    In: MPRA Paper.
    RePEc:pra:mprapa:9611.

    Full description at Econpapers || Download paper

  21. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2008). Taboga, Marco ; Pericoli, Marcello.
    In: MPRA Paper.
    RePEc:pra:mprapa:9523.

    Full description at Econpapers || Download paper

  22. Yield curve, time varying term premia, and business cycle fluctuations. (2008). Modena, Matteo.
    In: MPRA Paper.
    RePEc:pra:mprapa:8873.

    Full description at Econpapers || Download paper

  23. Macro-finance VARs and bond risk premia: a caveat. (2008). Taboga, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:11585.

    Full description at Econpapers || Download paper

  24. Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia. (2008). Soderberg, Jonas.
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_010.

    Full description at Econpapers || Download paper

  25. The Term Structure and the Expectations Hypothesis: a Threshold Model. (2008). Modena, Matteo.
    In: Working Papers.
    RePEc:gla:glaewp:2008_36.

    Full description at Econpapers || Download paper

  26. An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates. (2008). Modena, Matteo.
    In: Working Papers.
    RePEc:gla:glaewp:2008_35.

    Full description at Econpapers || Download paper

  27. Signal or noise? Implications of the term premium for recession forecasting. (2008). Rosenberg, Joshua ; Maurer, Samuel .
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2008:i:jul:p:1-11:n:v.14no.1.

    Full description at Econpapers || Download paper

  28. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:223.

    Full description at Econpapers || Download paper

  29. Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model. (2008). Andreasen, Martin.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-43.

    Full description at Econpapers || Download paper

  30. A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors. (2007). Taboga, Marco ; Pericoli, Marcello ; Marcello, Pericoli.
    In: MPRA Paper.
    RePEc:pra:mprapa:4969.

    Full description at Econpapers || Download paper

  31. Structural change and the bond yield conundrum. (2007). Taboga, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:4965.

    Full description at Econpapers || Download paper

  32. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
    In: MPRA Paper.
    RePEc:pra:mprapa:2512.

    Full description at Econpapers || Download paper

  33. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:07-029.

    Full description at Econpapers || Download paper

  34. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13611.

    Full description at Econpapers || Download paper

  35. The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates. (2007). Hasseltoft, Henrik.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0058.

    Full description at Econpapers || Download paper

  36. Commentary on \\Macroeconomic implications of changes in the term premium\\. (2007). Cochrane, John.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

    Full description at Econpapers || Download paper

  37. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

    Full description at Econpapers || Download paper

  38. Forecasting recessions: the puzzle of the enduring power of the yield curve. (2007). Williams, John ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2007-16.

    Full description at Econpapers || Download paper

  39. Switching VARMA Term Structure Models - Extended Version.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:191.

    Full description at Econpapers || Download paper

  40. Multi-Lag Term Structure Models with Stochastic Risk Premia.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:189.

    Full description at Econpapers || Download paper

  41. PREDICTABILITY OF ECONOMIC ACTIVITY USING YIELD SPREADS: THE CASE OF BRAZIL. (2007). Tabak, Benjamin ; Feitosa, Mateus A..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:029.

    Full description at Econpapers || Download paper

  42. An interpretation of an affine term structure model of Chile. (2006). Ochoa, Juan.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:33:y:2006:i:2:p:155-184.

    Full description at Econpapers || Download paper

  43. Economic activity and Recession Probabilities: spread predictive power in Italy. (2006). Torricelli, Costanza ; Brunetti, Marianna ; Modena, University of ; Emilia, Reggio.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:350.

    Full description at Econpapers || Download paper

  44. An Interpretation of An Affine Term Structure Model for Chile. (2006). Ochoa, Juan.
    In: MPRA Paper.
    RePEc:pra:mprapa:1072.

    Full description at Econpapers || Download paper

  45. Equilibrium Yield Curves. (2006). Schneider, Martin ; Piazzesi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12609.

    Full description at Econpapers || Download paper

  46. The yield curve and predicting recessions. (2006). Wright, Jonathan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-07.

    Full description at Econpapers || Download paper

  47. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

    Full description at Econpapers || Download paper

  48. The bond yield \conundrum\ from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-16.

    Full description at Econpapers || Download paper

  49. Forecasting with the yield curve; level, slope, and output 1875-1997. (2006). Haubrich, Joseph ; Bordo, Michael.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0611.

    Full description at Econpapers || Download paper

  50. The yield curve as a predictor and emerging economies. (2006). Mehl, Arnaud.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006691.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 00:36:45 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.