Why Does The Yield Curve Predict Economic Activity
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Why Does The Yield Curve Predict Economic Activity
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Author : Frank Smets
language : en
Publisher:
Release Date : 1997
Why Does The Yield Curve Predict Economic Activity written by Frank Smets and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Economic forecasting categories.
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.
Why Does The Yield Curve Predict Economy Activity
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Author : Frank Smets
language : en
Publisher:
Release Date : 1997
Why Does The Yield Curve Predict Economy Activity written by Frank Smets and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Why Does The Yield Curve Predict Gdp Growth
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Author : Camelia Minoiu
language : en
Publisher:
Release Date : 2023
Why Does The Yield Curve Predict Gdp Growth written by Camelia Minoiu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Bank loans categories.
The Yield Curve And Real Activity
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Author : Zuliu Hu
language : en
Publisher: International Monetary Fund
Release Date : 1993-03
The Yield Curve And Real Activity written by Zuliu Hu 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 1993-03 with Business & Economics 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
Can Yield Curve Spread Movements Predict Economic Activity
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Author : N.M.Khairul Rijal b. A.Ghazali
language : en
Publisher:
Release Date : 2005
Can Yield Curve Spread Movements Predict Economic Activity written by N.M.Khairul Rijal b. A.Ghazali and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Economics categories.
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.
Predicting Output Using The Entire Yield Curve
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Author : Azamat Abdymomunov
language : en
Publisher:
Release Date : 2011
Predicting Output Using The Entire Yield Curve written by Azamat Abdymomunov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Many studies find that yields for government bonds predict real economic activity. Most of these studies use the yield spread, defined as the difference between two yields of specific maturities, to predict output. In this paper, I propose a different approach that makes use of information contained in the entire term structure of U.S. Treasury yields to predict U.S. real GDP growth. My proposed dynamic yield curve model produces better out-of-sample forecasts of real GDP than those produced by the traditional yield spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the traditional yield spread model. Although the predictive power of the yield curve for output is concentrated in the yield spread, there is also a gain from using information in the curvature factor for the real GDP growth prediction.
Predicting Cycles In Economic Activity
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Author : Jane Haltmaier
language : en
Publisher:
Release Date : 2008
Predicting Cycles In Economic Activity written by Jane Haltmaier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Economic forecasting categories.
"Predicting cycles in economic activity is one of the more challenging but important aspects of economic forecasting. This paper reports the results from estimation of binary probit models that predict the probability of an economy being in a recession using a variety of financial and real activity indicators. The models are estimated for eight countries, both individually and using a panel regression. Although the success of the models varies, they are all able to identify a significant number of recessionary periods correctly"--Federal Reserve Board web site.
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.