The Predictive Power Of The Yield Curve
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The Predictive Power Of The Yield Curve
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Author : Hüseyin Kaya
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2011-08
The Predictive Power Of The Yield Curve written by Hüseyin Kaya and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08 with categories.
The yield curve has long been a subject of interest to macroeconomists and financial economists since the term structure of interest rates carries important information about expectations, monetary policy and market risk factors. As expectation hypothesis suggest; it is possible to extract expectations of economic actors about future economic activity by torturing the term structure of interest rates. Recent economic and financial crisis has manifested the importance of the indicators that correctly predict the future path of economy, and hence has increased the value of studies on the yield curve. In this study, we provide a literature survey of predictive power of the yield curve on inflation and reel economic activity and, of policy effects on the predictive power of the yield curve. We also investigate whether the yield spreads and reel economic activity has long-run relationship in Turkey. Economists, policymakers and market analyst who wish to investigate whether the term structure of interest rates contains significant information about the future economic activity can utilize this study.
The Predictive Power Of The Yield Curve In The Low Interest Rate Environment
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Author : Nanshan Xu
language : en
Publisher:
Release Date : 2017
The Predictive Power Of The Yield Curve In The Low Interest Rate Environment written by Nanshan Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Consumption (Economics) categories.
This paper re-examines the use of the yield curve as a forecasting tool for future real GDP growth in the United States. I identify a structural break in the term spread that is consistent with past literature findings. I examine the stability of the predictive power using multiple autoregressive models with three subsamples. My results indicate a strong predictive relationship between the term spread and real economic activity before 1982 third quarter, but that no statistically significant evidence has been found after 1982 third quarter. Using a disaggregate approach, I suggest that the yield curve still holds consistently strong predictive power in future nondurable goods consumption and non-residential investment growth. My analysis indicates how the yield curve may reflect the transmission channel: how monetary policy can impact consumption and investment, and hence real GDP.
The Predictive Power Of The Yield Curve Across Countries And Time
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Author : Menzie D. Chinn
language : en
Publisher:
Release Date : 2010
The Predictive Power Of The Yield Curve Across Countries And Time written by Menzie D. Chinn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Economic forecasting categories.
In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as European countries. We examine the sensitivity of the results to the selection of countries, and time periods. We find that the predictive power of the yield curve has deteriorated in recent years. However there is reason to believe that European country models perform better than non-European countries when using more recent data. In addition, the yield curve proves to have predictive power even after accounting for other leading indicators of economic activity -- National Bureau of Economic Research web site.
How Stable Is The Predictive Power Of The Yield Curve Evidence From Germany And The United States
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Author : Arturo Estrella
language : en
Publisher:
Release Date : 2006
How Stable Is The Predictive Power Of The Yield Curve Evidence From Germany And The United States written by Arturo Estrella and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure. In each case, we draw on evidence from Germany and the United States. Models that predict real activity are more stable than those that predict inflation, and binary models are more stable than continuous models. The model that predicts recessions is stable over our full sample period in both Germany and the United States.
How Stable Is The Predictive Power Of The Yield Curve
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Author : Arturo Estrella
language : en
Publisher:
Release Date : 2000
How Stable Is The Predictive Power Of The Yield Curve written by Arturo Estrella and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Inflation (Finance) categories.
The Predictive Power Of The Yield Curve
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Author : Christel Rendu de Lint
language : en
Publisher:
Release Date : 2003
The Predictive Power Of The Yield Curve written by Christel Rendu de Lint and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Although the empirical evidence about the leading indicator property of the term spread (LIPTS) is powerful, this property lacks a rigorous theoretical foundation. This paper investigates whether dynamic equilibrium asset pricing models are able to provide a theoretical underpinning for the LIPTS. We study an endowment and a production economy. The endowment economy is unable to account for the LIPTS. On the other hand, a model with endogenous production provides a reasonable theoretical justification for the LIPTS.
The Predictive Power Of Yield Curve In Forecasting U S Recessions
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Author : Hardeep Bamara
language : en
Publisher:
Release Date : 2006
The Predictive Power Of Yield Curve In Forecasting U S Recessions written by Hardeep Bamara and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economic forecasting categories.
Since the last recession in 2001, the U.S. economy has continued to grow; yet speculation of a recession has surfaced on the basis of the yield curve flattening. Yield curve inversion has been strongly associated with U.S. recessions over the last forty-six years. This paper examines the predictive power of the yield curve, the index of leading indicators, monetary growth and stock returns in forecasting U.S. recessions. A probit model is used to generate recession probability forecasts three, six, nine and twelve months forward. Empirical results show that the yield curve embodies the highest degree of explanatory power beyond a three-month forecast horizon. Results for the last two recessions are analyzed as well as forecasts going forward into 2006. As a final observation, an asset allocation trading strategy is tested out-of-sample.
The Predictive Power Of The Yield Curve Across Countries And Time
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Author :
language : en
Publisher:
Release Date : 2010
The Predictive Power Of The Yield Curve Across Countries And Time written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Permanent Transitory Confusion And The Predictive Power Of The Yield Curve
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Author : Vincent Bodart
language : en
Publisher:
Release Date : 1994
Permanent Transitory Confusion And The Predictive Power Of The Yield Curve written by Vincent Bodart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
The Yield Curve S Predictive Power On U S Recessions
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Author : John William Lahman
language : en
Publisher:
Release Date : 2012
The Yield Curve S Predictive Power On U S Recessions written by John William Lahman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
A negative-sloped Treasury curve is often cited in financial news articles and by Federal Reserve economists as a predictor of recessions. This report reviews previously published research examining the reliability of yield curves predicting recessions. Findings show that the yield curve inverts two or more quarters before recessions, with short-term interest rates rising above long-term interest rates. Probit regression has proven a reliable method for generating estimated probabilities of future recessions that, in turn, are useful for both monetary policy and asset allocation decision-making.