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Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have... -
Structural break threshold VARs for predicting US recessions using the spread...
This paper proposes a model to predict recessions that accounts for non-linearity and a structural break when the spread between long- and short-term interest rates is the...
