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Author : N. Kundan Kishor
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (731 download)
Download or read book Yield spreads as predictors of economic activity written by N. Kundan Kishor and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zuliu Hu
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Yield Curve and Real Activity written by Zuliu Hu and published by International Monetary Fund. This book was released on 1993-03 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : Alfred V. Guender
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Yield Spreads & Real Economic Activity written by Alfred V. Guender and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jack Rabin
Publisher : CRC Press
ISBN 13 : 9780824705787
Total Pages : 1012 pages
Book Rating : 4.7/5 (57 download)
Download or read book Handbook of Monetary Policy written by Jack Rabin and published by CRC Press. This book was released on 2001-12-19 with total page 1012 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Examines the politics of economic policy, focusing on forecasting, inflation, interest rates, market expectations, financial crises, disruptions in global markets, and tax policy, as well as state and local government budgeting, financial management, and policy initiatives for development and growth."
Author : K. Kanagasabapathy
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (318 download)
Download or read book Yield Spread as a Leading Indicator of Real Economic Activity written by K. Kanagasabapathy and published by International Monetary Fund. This book was released on 2002-05 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Jon Faust
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (131 download)
Download or read book Credit Spreads as Predictors of Real-Time Economic Activity written by Jon Faust and published by . This book was released on 2012 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Employing a large number of financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios -- constructed directly from the secondary market prices of outstanding bonds -- sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the cyclically-sensitive measures of economic activity at horizons from the current quarter out to four quarters hence. The gains in forecast accuracy are statistically significant and economically important and owe almost exclusively to the inclusion of credit spreads in the set of predictors.
Author : Anastasios Evgenidis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book An Explanation of Spread's Ability to Predict Economic Activity written by Anastasios Evgenidis and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study contributes to the relevant literature by providing an explanation on the reason and the economic conditions under which the spread proves to be such a powerful predictor of economic activity. For over two decades numerous studies have provided evidence on the predictive ability of the yield spread for real economic growth. While all this large literature has focused on how well the spread helps towards predicting real activity, none of these studies has given an answer on why the spread predicts. This study deals with this issue by attempting to find an answer on the reason and the economic conditions under which the spread proves to be such a powerful predictor of economic activity. We examine whether the explanation of spread's predictive ability lies behind interest rate volatility, supposing that the economy oscillates between high and low volatility regimes. For this reason we nest GARCH models into Markov regime switching models.When we assume that the economy simply oscillates between different regimes, interest rate volatility does not explain the spread's predictive ability. However, we obtain a very interesting result when we augment the conditional variance with a level effects term. This ensures that in an environment with high levels of interest rates - in which the rational agents expect the economy to slow down - there is a greater possibility for the economy to switch to a high volatility regime. Under these economic conditions, interest rate volatility appears to be the reason of spread's predictive power from one up to three years.
Author : Hüseyin Kaya
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783845428284
Total Pages : 68 pages
Book Rating : 4.4/5 (282 download)
Download or read book The Predictive Power of the Yield Curve written by Hüseyin Kaya and published by LAP Lambert Academic Publishing. This book was released on 2011-08 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Philippe Mueller
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (129 download)
Download or read book Credit Spreads and Real Activity written by Philippe Mueller and published by . This book was released on 2011 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the transmission of credit conditions into the real economy. Specifically, I examine the forecasting power of the term structure of credit spreads for future GDP growth. I find that the whole term structure of credit spreads has predictive power, while the term structure of Treasury yields has none. Using a parsimonious macro-finance term structure model that captures the joint dynamics of GDP, inflation, Treasury yields and credit spreads, I decompose the spreads and identify the drivers of this transmission effect. I show that there is a pure credit component orthogonal to macroeconomic information that accounts for a large part of the forecasting power of credit spreads. The macro factors themselves also contribute to the predictive power, especially for long maturity spreads. Additional factors affecting Treasury yields and credit spreads are irrelevant for predicting future economic activity. The credit factor is highly correlated with the index of tighter loan standards, thus lending support to the existence of a transmission channel from borrowing conditions to the economy. Using data from 2006-2008, I capture the ongoing crisis, during which credit conditions have heavily tightened and I show that the model provides reasonably accurate out-of-sample predictions for this period. As of year-end 2008, the model predicts a contraction of -2% in real GDP growth for 2009, which is lower than comparable survey forecasts.
Author : Dimitrios Malliaropulos
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Identifying the Sources of the Predictive Ability of the Yield Spread written by Dimitrios Malliaropulos and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims at identifying the sources of the predictive power of the nominal yield spread for economic activity. For this purpose, we analyse the relationship between the yield spread and future GDP growth in an economy subject to three types of structural disturbances: Supply shocks, monetary shocks and shocks to term premia. The theoretical model extends the work of Harvey (1988) and Hu (1993), which attributes the correlation between the real term structure and future output growth to intertemporal consumption smoothing, by allowing short-term price stickiness in the economy. Sticky prices imply that economic disturbances generate expectations of future changes in output and inflation, thus allowing for intertemporal substitution effects and changes in both the real and the nominal term structure. We derive analytical solutions of the covariance between the nominal yield spread and future output growth and show that this covariance is not independent of the type of economic disturbances. Using data for the U.S. over the period 1957:1 - 2002:4, we find empirical evidence that the predictive power of the yield spread is due to supply shocks. In contrast, monetary shocks and term premia shocks generate a negative correlation between the yield spread and future economic activity, explaining why, at times, the predictive power of the yield spread may break down.
Author : Reuben A. Kessel
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.3/5 (97 download)
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Melvin Khomo
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783838349305
Total Pages : 112 pages
Book Rating : 4.3/5 (493 download)
Download or read book The Yield Curve As A Forecasting Tool written by Melvin Khomo and published by LAP Lambert Academic Publishing. This book was released on 2010-04 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although it s best predictive power is seen at two quarters.
Author : Randall Hounsell
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (332 download)
Download or read book Interest Rate Spreads as Predictors of Real Economic Activity written by Randall Hounsell and published by . This book was released on 1995 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeff Fuhrer
Publisher : MIT Press
ISBN 13 : 026225820X
Total Pages : 517 pages
Book Rating : 4.2/5 (622 download)
Download or read book Understanding Inflation and the Implications for Monetary Policy written by Jeff Fuhrer and published by MIT Press. This book was released on 2009-09-11 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current perspectives on the Phillips curve, a core macroeconomic concept that treats the relationship between inflation and unemployment. In 1958, economist A. W. Phillips published an article describing what he observed to be the inverse relationship between inflation and unemployment; subsequently, the “Phillips curve” became a central concept in macroeconomic analysis and policymaking. But today's Phillips curve is not the same as the original one from fifty years ago; the economy, our understanding of price setting behavior, the determinants of inflation, and the role of monetary policy have evolved significantly since then. In this book, some of the top economists working today reexamine the theoretical and empirical validity of the Phillips curve in its more recent specifications. The contributors consider such questions as what economists have learned about price and wage setting and inflation expectations that would improve the way we use and formulate the Phillips curve, what the Phillips curve approach can teach us about inflation dynamics, and how these lessons can be applied to improving the conduct of monetary policy. Contributors Lawrence Ball, Ben Bernanke, Oliver Blanchard, V. V. Chari, William T. Dickens, Stanley Fischer, Jeff Fuhrer, Jordi Gali, Michael T. Kiley, Robert G. King, Donald L. Kohn, Yolanda K. Kodrzycki, Jane Sneddon Little, Bartisz Mackowiak, N. Gregory Mankiw, Virgiliu Midrigan, Giovanni P. Olivei, Athanasios Orphanides, Adrian R. Pagan, Christopher A. Pissarides, Lucrezia Reichlin, Paul A. Samuelson, Christopher A. Sims, Frank R. Smets, Robert M. Solow, Jürgen Stark, James H. Stock, Lars E. O. Svensson, John B. Taylor, Mark W. Watson
Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 0691146802
Total Pages : 223 pages
Book Rating : 4.6/5 (911 download)
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Bandi Kamaiah
Publisher : Springer
ISBN 13 : 9811058105
Total Pages : 227 pages
Book Rating : 4.8/5 (11 download)
Download or read book Current Issues in Economics and Finance written by Bandi Kamaiah and published by Springer. This book was released on 2018-01-12 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses wide topics related to current issues in economic growth and development, international trade, macroeconomic and financial stability, inflation, monetary policy, banking, productivity, agriculture and food security. It is a collection of seventeen research papers selected based on their quality in terms of contemporary topic, newness in the methodology, and themes. All selected papers have followed an empirical approach to address research issues, and are segregated in five parts. Part one covers papers related to fiscal and price stability, monetary policy and economic growth. The second part contains works related to financial integration, capital market volatility and macroeconomic stability. Third part deals with issues related to international trade and economic growth. Part four covers topics related to productivity and firm performance. The final part discusses issues related to agriculture and food security. The book would be of interest to researchers, academicians as a ready reference on current issues in economics and finance.
Author : C. James Hueng
Publisher : W.E. Upjohn Institute
ISBN 13 : 0880996765
Total Pages : 133 pages
Book Rating : 4.8/5 (89 download)
Download or read book Alternative Economic Indicators written by C. James Hueng and published by W.E. Upjohn Institute. This book was released on 2020-09-08 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.
