The Yield Curve and Predicting RecessionsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2006 - Interest rates - 19 pages |
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Adam Copeland Analysis Andrew Cohen April Arturo Athanasios Orphanides August Bank Basel II Bayes Information Criterion better out-of-sample predictive Curve and Predicting Data December Distant-Horizon Forward Rates Economics Discussion Series Effects estimated Estrella excess returns February federal funds rate Federal Reserve Board Finance and Economics Forecasting NBER Recessions four quarters Gene Amromin Hannan horizon Inflation inverted yield curve January Jonathan H Kevin Moore Lagrange Multiplier Leading Indicators Long-Term Yields low term premiums Macroeconomic Mc Fadden R-Squared measure Monetary Policy Month less Ten-Year Norman Morin Nyblom October odds out-of-sample predictive performance Percent Piazzesi predictor Probit Models probit regressions Real Federal Funds return forecasting factor Robert Rodrigues root mean square September 2005 serial correlation short-term interest rates spread give better Stability Test Statistics stance of monetary Steven Stock structural stability ten-year term spread Term Structure Model Tests for Parameter Three-Factor Term Structure three-month over ten-year Timothy H Volatility Wright yield curve