Investigating time-variation in the marginal predictive power of the yield spread

DOI10.1016/J.JEDC.2007.05.005zbMath1181.91271OpenAlexW3121269181MaRDI QIDQ844643

Luca Benati, Charles. A. E. Goodhart

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp802.pdf

zbMATH Keywords

frequency domainstochastic volatilitytime-varying parametersMonte Carlo integrationBayesian VARsgreat inflationmedian-unbiased estimationVolcker disinflation

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (2)

Interest rate spreads and output: a time scale decomposition analysis using wavelets ⋮ The yield curve and the macro-economy across time and frequencies

Uses Software

• bvarsv

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• Drift and breaks in labor productivity
• Structural changes in the US economy: is there a role for monetary policy?
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Testing for the Constancy of Parameters Over Time
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• On Gibbs sampling for state space models
• Time Varying Structural Vector Autoregressions and Monetary Policy

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