2020
DOI: 10.1016/j.jbusres.2018.08.041
|View full text |Cite
|
Sign up to set email alerts
|

The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1
1
1

Citation Types

1
7
0

Year Published

2020
2020
2022
2022

Publication Types

Select...
6
1

Relationship

1
6

Authors

Journals

citations
Cited by 19 publications
(11 citation statements)
references
References 56 publications
1
7
0
Order By: Relevance
“…The predictive power of the yield curve tends to be higher at short term horizons, especially in the cumulative case. This result is in line with many previous studies which highlight a better forecasting ability of the yield spread for short horizons than longer horizons (Evgenidis et al, 2020). Indeed, the reduction in the predictive power of the yield spread seems to coincide with a reduction in the term premium.…”
Section: Rolling Windowssupporting
confidence: 91%
“…The predictive power of the yield curve tends to be higher at short term horizons, especially in the cumulative case. This result is in line with many previous studies which highlight a better forecasting ability of the yield spread for short horizons than longer horizons (Evgenidis et al, 2020). Indeed, the reduction in the predictive power of the yield spread seems to coincide with a reduction in the term premium.…”
Section: Rolling Windowssupporting
confidence: 91%
“…The final phase of the fuzzy approach is defuzzification, in which last step we obtain the output value y x of the multicriteria model of an alternative evaluation (a 1 ,…,a c )  A as the mean value of the elements yB agg weighted by the values µ agg (y) of their significancesee (2). Therefore…”
Section: Methodology: the Introduction To Fuzzy Approachmentioning
confidence: 99%
“…It is clear that crisis impact and the way the individual EU states get over is going to be very uneven. How well and quickly the countries will pull together relies upon many external and internal factors [2]. There is not only the seriousness of the pandemic spread and the strictness of containment measures in play, but a great role belongs to particular economic exposures and pre-existing conditions as well as the policy responses.…”
Section: Introductionmentioning
confidence: 99%
“…It is also worth mentioning the early warning signals in the end of 2007 as evidenced by the drop in the economic sentiment indicator and the increase in CISS. In addition, the inverted yield curve, which interestingly becomes even negative in 2007, is another warning sign of the impending recession (see also Evgenidis & Siriopoulos, 2014;Evgenidis, Papadamou, & Siriopoulos, 2018 who provide evidence on the ability of the yield spread to predict future recessions). Last, the clear downward trend of the shadow rate highlights the adoption of unconventional policy operations in the aftermath of the global financial crisis while later on, in 2015, the ECB undertook large purchases of public sector bonds that expanded its balance sheet (as indicated by the respective series).…”
Section: Datasetmentioning
confidence: 99%