This paper proposes an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast both future economic growth as well as the beginning and end of economic recessions at the...

This study analyses empirically the link between real house prices and key macro variables like prices, output and interest rates for ten OECD countries. We find out that a monetary policy shock lowers real house prices in all ten countries, where the interest rate shock explains between 12 and...

In the empirical finance literature findings on the risk return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock...

FTS in Business cycles examines the dynamic effects and empirical significance of Flight to Safety (FTS) shocks in the context of US business cycles. FTS represents a sudden preference for safe over risky investments and contains important information on agents’ time-varying risk-aversion and...

We analyze dynamics of the permanent and transitory components of the U.S. economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture asymmetries over the phases of economic and stock market trends and cycles using independent Markov-switching processes....

FTS in Business cycles examines the dynamic effects and empirical significance of Flight to Safety (FTS) shocks in the context of US business cycles. FTS represents a sudden preference for safe over risky investments and contains important information on agents’ time-varying risk-aversion and...

This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from daily returns. We model log financial volatility as...

FTS in Business cycles examines the dynamic effects and empirical significance of Flight to Safety (FTS) shocks in the context of US business cycles. FTS represents a sudden preference for safe over risky investments and contains important information on agents’ time-varying risk-aversion and...

In this paper we utilize a multivariate STSM model in order to estimate trend and cyclical components on a set of business and financial economic variables for Slovenia. The results show that financial cycles are somewhat longer compared to business cycles. Comparing the standard deviations of...

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...