scholarly journals A Reexamination of the Predictability of Economic Activity Using the Yield Spread

2002 ◽  
Vol 34 (2) ◽  
pp. 340-360 ◽  
Author(s):  
James D. (James Douglas) Hamilton ◽  
Dong Heon Kim
Keyword(s):  
Economic Activity ◽  
Yield Spread

Does the Yield Spread Predict Real Economic Activity?

2020 ◽  
pp. 189-203
Author(s):  
Catherine Bonser-Neal ◽  
Timothy R. Morley
Keyword(s):  
Economic Activity ◽  
Yield Spread

scholarly journals Economic activity forecast in emerging markets

2014 ◽  
Vol 12 (1) ◽  
pp. 325-329 ◽  
Author(s):  
Andre Carvalhal ◽  
Miguel Murillo
Keyword(s):  
Economic Growth ◽  
Emerging Markets ◽  
Emerging Economies ◽  
Economic Activity ◽  
Predictive Power ◽  
Forecasting Model ◽  
Yield Spread ◽  
Fixed Income ◽  
Time Horizons ◽  
Activity Forecast

This paper uses a forecasting model for real economic activity for a group of emerging economies (Brazil, India, Mexico and Russia) based on the information contained in their capital markets. We forecast the industrial production in emerging markets throughout different time horizons using information contained in stock and fixed-income markets. Our results suggest that fixed-income and stock markets do not reveal information regarding future economic growth in Brazil, Mexico and Russia. In the case of India, the yield spread explain part of the variation of the economic activity, but the stock market does not have predictive power.

scholarly journals In Search of Leading Indicator Property of Yield Spread for India: An Approach Based on Quantile and Wavelet Regression

2015 ◽  
Vol 2015 ◽  
pp. 1-12 ◽  
Author(s):  
Arif Billah Dar ◽  
Firdous Ahmad Shah
Keyword(s):  
Quantile Regression ◽  
Time Scales ◽  
Economic Activity ◽  
Predictive Power ◽  
Output Growth ◽  
Yield Spread ◽  
Predictive Information ◽  
Yield Spreads ◽  
Wavelet Regression ◽  
Leading Indicator

The leading indicator ability of yield spread for future output growth and inflation is tested for India. Using the yields on securities with maturities ten years and three months to construct yield spread, we study the predictive power of yield spread for output growth and inflation. Our results based on regression of future inflation and output on yield spreads indicate that there is no information in the yield spread about future economic activity and inflation in India. Further, the predictive power of yield spread is analyzed over different quantiles of inflation and output growth using quantile regression; we find that there is again no evidence of predictive information in the yield spreads. Using multiscale wavelet based regression, predictive power is however unveiled at higher time scales for output growth only.

The relationship of bond yield curves and gross domestic product growth in Scandinavia

2018 ◽  
Vol 4 (10) ◽  
pp. 398-405
Author(s):  
Jana Hvozdenska
Keyword(s):  
Economic Activity ◽  
Predictive Power ◽  
Yield Curve ◽  
Yield Spread ◽  
Gross Domestic Product Growth ◽  
Real Gdp ◽  
Bond Yield ◽  
Near Term ◽  
Relationship Of ◽  
The Relationship

The steepness of the bond yield curve is an excellent indicator of a possible future economic activity. A rise in the short rate tends to flatten the yield curve and slows down real growth in the near-term. This paper analyses the dependence between slope of the yield curve and an economic activity of selected countries between 2000 and 2016. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 3-month bonds. The results showed that the best predictive lags are the lag of four and five quarters. The results also confirm that 10-year and 3-month yield spread has a significant predictive power for real GDP growth after a financial crisis. These findings can benefit investors and provide evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity. Keywords: GDP prediction, yield curve, slope, spread.

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