| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1791 |
| DP1791 Migration to Switzerland: Some New Evidence | |
| Thomas Straubhaar; Stefan M. Golder | |
| 发表日期 | 1998-01-31 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper investigates why the slope of the yield curve predicts future economic activity in Germany and the United States. A structural VAR is used to identify aggregate supply, aggregate demand, monetary policy and inflation scare shocks and to analyse their effects on the real, nominal and term premium components of the term spread and on output. In both countries demand and monetary policy shocks contribute to the covariance between output growth and the lagged term spread, while inflation scares do not. As the latter are more important in the United States, they reduce the predictive content of the term spread in that country. However, the main reason for the stronger leading indicator property in Germany is the positive contribution of supply shocks, which owing to a different monetary policy response explains about half of the positive covariance at lag four in Germany and almost nothing in the United States. |
| 主题 | International Macroeconomics |
| 关键词 | Germany Information content monetary policy Term structure of interest rates United states |
| URL | https://cepr.org/publications/dp1791 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530934 |
| 推荐引用方式 GB/T 7714 | Thomas Straubhaar,Stefan M. Golder. DP1791 Migration to Switzerland: Some New Evidence. 1998. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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