The Yield Curve And Real Activity

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The Yield Curve And Real Activity

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Author : Zuliu Hu
language : en
Publisher:
Release Date : 2006

The Yield Curve And Real Activity written by Zuliu Hu 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.

The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic activity. A closed-form formula for the term structure of interest rates is derived. It is shown that the term structure embodies the market`s expectation about changes in the macroeconomic fundamental--the growth in real aggregate output of the economy. The paper then documents the use of bond market data for predicting GDP growth in the G-7 industrial countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of-sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. One practical implication is that it may be useful to add some measure of the term structure to the list of leading indicators.

Yield Spread As A Leading Indicator Of Real Economic Activity

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Author : K. Kanagasabapathy
language : en
Publisher: International Monetary Fund
Release Date : 2002-05

Yield Spread As A Leading Indicator Of Real Economic Activity written by K. Kanagasabapathy and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-05 with Business & Economics categories.

There is growing evidence that the yield spread could serve as a leading indicator of real economic activity. This paper is an attempt to test this hypothesis for the Indian economy by relating movements in the yield spread in the government securities market to movements in the index of industrial production. The results show that yield spread could, inter alia, be considered as a leading indicator of industrial activity in India.

The Yield Spread And Real Economic Activity

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Author : K. M. Hawtrey
language : en
Publisher:
Release Date : 2001

The Yield Spread And Real Economic Activity written by K. M. Hawtrey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Australia categories.

Equilibrium Yield Curve The Phillips Curve And Monetary Policy

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Author : Mitsuru Katagiri
language : en
Publisher: International Monetary Fund
Release Date : 2018-11-09

Equilibrium Yield Curve The Phillips Curve And Monetary Policy written by Mitsuru Katagiri and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-09 with Business & Economics categories.

Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. Quantitative analyses also emphasize the importance of monetary policy, predicting that a permanently low growth and low inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.

The Term Structure Of Interest Rates In A Simple Stochastic Growth Model

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Author : David Kim
language : en
Publisher:
Release Date : 1998

The Term Structure Of Interest Rates In A Simple Stochastic Growth Model written by David Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Economic development categories.

Monetary And Fiscal Policies And The Dynamics Of The Yield Curve In Morocco

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Author : Mr.Calixte Ahokpossi
language : en
Publisher: International Monetary Fund
Release Date : 2016-08-16

Monetary And Fiscal Policies And The Dynamics Of The Yield Curve In Morocco written by Mr.Calixte Ahokpossi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-08-16 with Business & Economics categories.

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004–14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to macroeconomic policy-making. In Morocco’s context, we find that tighter monetary policy increases short-end maturities, and that the impact is small and short-lived. Economic activity is also briefly but significantly impacted, suggesting that even under a pegged exchange rate, monetary policy autonomy and effectiveness can be increased through greater central bank independence. Fiscal improvements significantly lower yield levels. Policy conclusions are that improvement in the fiscal and monetary policy frameworks, as well as greater financial sector development and inclusion, could benefit Morocco and strengthen the transmission mechanisms and effectiveness of macroeconomic policies.

Why Does The Yield Curve Predict Economic Activity

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Author :
language : en
Publisher:
Release Date : 1997

Why Does The Yield Curve Predict Economic Activity written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Auctions categories.

Yield Curve Modeling And Forecasting

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Author : Francis X. Diebold
language : en
Publisher: Princeton University Press
Release Date : 2013-01-15

Yield Curve Modeling And Forecasting written by Francis X. Diebold and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-15 with Business & Economics categories.

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

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.

Estimating And Interpreting The Yield Curve

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Author : Nicola Anderson
language : en
Publisher:
Release Date : 1996-06-04

Estimating And Interpreting The Yield Curve written by Nicola Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-06-04 with Business & Economics categories.

A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.