Search Results - subject:"yield-curve slope"

Monetary policy, inflation outlook, and recession probabilities

Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022

Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...

Persistent link: https://www.econbiz.de/10013479457

Monetary policy, inflation outlook, and recession probabilities

Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022

Persistent link: https://www.econbiz.de/10013279282

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of … the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect … fluctuations in Treasury rates and the future state of the economy. In particular, a change in the yield curve slope due to a …

Persistent link: https://www.econbiz.de/10012030358

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

Persistent link: https://www.econbiz.de/10011924714

Forecasting US recessions : the role of economic uncertainty

Ercolani, Valerio; Natoli, Filippo - 2020

Persistent link: https://www.econbiz.de/10012299773

Forecasting US recessions : the role of economic uncertainty

Ercolani, Valerio; Natoli, Filippo - In: Economics letters 193 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509097

Revisiting the shape of the yield curve: the effect of interest rate volatility.

Christiansen, Charlotte; Lund, Jesper - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002

This paper examines the relationship between interest-rate volatility and the shape of the yield curve. The yield curve is parsimoniously described by its level, slope, and curvature. The level, the slope and the curvature are analyzed within a trivariate heteroskedastic model, where the...

Persistent link: https://www.econbiz.de/10005750412

Regime Switching in the Yield Curve

Christiansen, Charlotte - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002

-state Markov switching model for the short-rate changes <p> and the yield curve slope. The two states are characterized by …

Persistent link: https://www.econbiz.de/10005839375