全球智库信息集成服务系统(G2TT): The Predictive Power of the Yield Curve across Countries and Time

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w16398
来源ID	Working Paper 16398
	The Predictive Power of the Yield Curve across Countries and Time
	Menzie D. Chinn; Kavan J. Kucko
发表日期	2010-09-23
出版年	2010
语种	英语
摘要	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.
主题	Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Money and Interest Rates
URL	https://www.nber.org/papers/w16398
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/574073
推荐引用方式 GB/T 7714	Menzie D. Chinn,Kavan J. Kucko. The Predictive Power of the Yield Curve across Countries and Time. 2010.