David Kelley

Federal Reserve Bank of Chicago

230 South LaSalle Street

Chicago, IL 60604

United States

SCHOLARLY PAPERS

2

DOWNLOADS

459

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

Why Does the Yield-Curve Slope Predict Recessions?

Number of pages: 17 Posted: 15 Nov 2018 Last Revised: 14 Dec 2018
Luca Benzoni, Olena Chyruk and David Kelley
Federal Reserve Bank of Chicago - Research Department, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 261 (142,175)

Abstract:

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yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path

Why Does the Yield-Curve Slope Predict Recessions?

FRB of Chicago Working Paper No. WP-2018-15
Number of pages: 18 Posted: 10 Dec 2018 Last Revised: 29 Apr 2020
Luca Benzoni, Olena Chyruk and David Kelley
Federal Reserve Bank of Chicago - Research Department, Federal Reserve Bank of Chicago and Federal Reserve Bank of Chicago
Downloads 143 (246,352)

Abstract:

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Interest rates, yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path

2.

A Practitioner's Guide and MATLAB Toolbox for Mixed Frequency State Space Models

Number of pages: 37 Posted: 03 Mar 2020
Scott A. Brave, R. Andrew Butters and David Kelley
Federal Reserve Bank of Chicago, Indiana University and Federal Reserve Bank of Chicago
Downloads 55 (444,596)
Citation 2

Abstract:

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mixed frequency, state space, Kalman filter, maximum likelihood, MATLAB