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INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH

  • Published:2012-10-16 Issue:1 Volume:29 Page:42-64
  • ISSN:0883-7252
  • Container-title:Journal of Applied Econometrics
  • language:en
  • Short-container-title:J. Appl. Econ.

Author:

Dewachter Hans123,Iania Leonardo14,Lyrio Marco5

Affiliation:

1. National Bank of Belgium; Brussels Belgium

2. Center for Economic Studies; University of Leuven; Belgium

3. CESifo; Munich Germany

4. Louvain School of Management (UCL); Louvain-la-Neuve Belgium

5. Insper Institute of Education and Research; São Paulo Brazil

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference42 articles.

1. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables;Ang;Journal of Monetary Economics,2003

2. What does the yield curve tell us about GDP growth?;Ang;Journal of Econometrics,2006

3. Are Phillips curves useful for forecasting inflation?;Atkeson;Federal Reserve Bank of Minneapolis Quarterly Review,2001

4. New-Keynesian macroeconomics and the term structure;Bekaert;Journal of Money, Credit, and Banking,2010

5. Monetary policy alternatives at the zero bound: an empirical assessment;Bernanke;Brookings Papers on Economic Activity,2004

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