RDP 9204: The Term Structure of Interest Rates, Real Activity and Inflation References
May 1992
- Download the Paper 439KB
Bernanke, Ben S., “On The Predictive Power of Interest Rates and Interest Rate Spreads”, New England Economic Review, 1990, November/December, 51–68.
Bernanke, Ben S. and Alan Blinder, “The Federal Funds Rate and the Channels of Monetary Policy”, NBER Working Paper #3487, 1990.
Blanchard, Olivier J., “Output, the Stock Market, and Interest Rates”, American Economic Review, 1981, 71, 132–143.
Browne, Frank and Paolo Manasse, “The Information Content of the Term Structure of Interest Rates: Theory and Evidence”, OECD Economic Studies, 1990, Spring, Number 14, 59–86.
Estrella, Arturo and Gikas Hardouvelis, “The Term Structure as a Predictor of Real Economic Activity”, The Journal of Finance, 1991, XLVI, 555–576.
Frankel, Jeffrey A. and Cara S. Lown, “An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along its Entire Length”, NBER Working Paper #3751, 1991.
Jorion, Philippe and Frederic Mishkin, “A Multi-Country Comparison of Term Structure Forecasts at Long Horizons”, NBER Working Paper # 3574,1991.
Kydland, Finn and Edward Prescott, “The Workweek of Capital and its Cyclical Implications”, Journal of Monetary Economics, 1988, 21, 343–360.
Mishkin, Frederic, “What Does the Term Structure Tell Us About Future Inflation”, Journal of Monetary Economics, 1990a, 25, 77–95.
Mishkin, Frederic, “The Information in the Longer Maturity Term Structure About Future Inflation”, Quarterly Journal of Economics, 1990b, CV, 815–828.
Mishkin, Frederic, “A Multi-Country Study of the Information in the Shorter Maturity Term Structure About Future Inflation”, Journal of International Finance and Money, 1991, 10, 2–22.
Newey, Witney and Ken West, “A Simple, Positive Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix”, Econometrica, 1987, 55, 703–08.
Stock, James and Mark Watson, “New Indexes of Coincident and Leading Economic Indicators”, in NBER Macroeconomic Annual 1989, Olivier J. Blanchard and Stanley Fischer, MIT Press, Cambridge, MA., 351–94.