Prediction of the economic activity from the short and long-term interest rate differential: new evidences in Chile and the United States of America cases

References

• Álvarez, C. Cademartori, D. Galea, M. González, O. and Romo, C. (1994) Pronóstico de la Actividad Económica a través de la Estructura de Tasas de Interés. Unpublished
   Google Scholar
• Badrinath , S. G. and Chatterjee , S. 1993 . Systematic risk estimation in the presence of large and many outliers . Review of Quantitative finance and Accounting , 3 : 5 – 27 .
   Google Scholar
• Blattberg , R. C. and Gonedes , N. J. 1974 . A comparison of the stable and student distribution as statistical models for stock prices . Journal of Business , 47 : 244 – 80 .
   Web of Science ®Google Scholar
• Campbell , J. , Lo , A. and MacKinlay , A. 1997 . Econometrics of Financial Markets , New Jersey : Princeton University Press .
   Google Scholar
• Chan , L. and Lakonishok , J. 1992 . Robust measurement of beta risk . Journal of Financial and Quantitative Analysis , 27 : 265 – 82 .
   Web of Science ®Google Scholar
• Chatterjee , S. and Hadi , A. S. 1988 . Sensitivity Analysis in Linear Regression , New York : Wiley .
   Google Scholar
• Chen , J. 1998 . Testing for a change point in linear regression models . Communications in Statistics – Theory & Methods , 27 : 2481 – 93 .
   Web of Science ®Google Scholar
• Duarte , A. M. and Mendes , B. V. M. 1998 . Robust estimation of systematic risk in emerging stock markets . Emerging Markets Quaterly , 1 : 85 – 95 .
   Google Scholar
• Estrella, A. (2004) Why does the yield curve predict output and inflation? Unpublised article
   Google Scholar
• Estrella , A. and Hardouvelis , G. 1991 . The term structure as a predictor of real economic activity . Journal of Finance , 46 : 555 – 76 .
   Web of Science ®Google Scholar
• Estrella , A. and Mishkin , F. 1997 . The predictive power of the term structure of interest rates in europe and the United States: implications for the European central bank . European Economic Review , 41 : 1375 – 1401 .
   Web of Science ®Google Scholar
• Estrella , A. and Mishkin , F. 1998 . Predicting US Recessions: financial variables as leading indicators . Review of Economics and Statistics , 80 : 45 – 61 .
   Web of Science ®Google Scholar
• Estrella , A. , Rodrigues , A. and Schich , S. 2002 . How stable is the predictive power of the yield curve? Evidence from Germany and the United States . Review of Economics and Statistics , 85 : 94 – 104 .
   Web of Science ®Google Scholar
• Fama , E. 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
   Web of Science ®Google Scholar
• Fernández, V. (2000) Estructura de tasas de interés en Chile: qué tan buen predictor de crecimiento e inflación? Serie Economía Centro de Economía Aplicada, Universidad de Chile, Num. 89
   Google Scholar
• Fernández , C. and Steel , M. 1999 . Multivariate Student-t regression models: pitfalls and inference . Biometrika , 86 : 153 – 67 .
   Web of Science ®Google Scholar
• Harvey , R. C. 1989 . Forecast of economics growth from the bond and stock markets . Financial Analysts Journal , September–October : 30 – 44 .
   Google Scholar
• Lange , K. L. , Little , J. A. and Taylor , M. G. 1989 . Robust statistical modeling using the t distribution . Journal of the American Statistical Association , 84 : 881 – 96 .
   Web of Science ®Google Scholar
• McLachlan , G. L. and Krishnan , T. 1997 . The EM Algorithm and Extensions , New York : Wiley .
   Google Scholar
• McMillan , D. 2002 . Interestrrate spread and real activity: evidence for the UK . Applied Economics Letter , 9 : 191 – 194 .
   Web of Science ®Google Scholar
• Osorio , F. and Galea , M. 2006 . Detection of a change-point in Student-t linear regression models . Statistical Articles , 47 : 31 – 48 .
   Google Scholar
• Rousseeuw , P. and Leroy , A. 1987 . Robust Regression and Outlier Detection , New York : Wiley .
   Google Scholar
• Staudte , R. G. and Sheather , S. J. 1990 . Robust Estimation and Testing , New York : Wiley .
   Google Scholar
• Taylor , J. 1992 . Properties of modelling the error distribution with an extra shape parameter . Computational Statistics and Data Analysis , 13 : 33 – 46 .
   Web of Science ®Google Scholar