scholarly journals The Predictive Power of the Yield Spread Under the Veil of Time

2006 ◽  
Author(s):  
Paolo Zagaglia
Keyword(s):  
Predictive Power ◽  
Yield Spread ◽  
The Veil

scholarly journals On the Predictive Power of the Yield Spread for Future Growth and Recession: The Turkish Case

2013 ◽  
Author(s):  
Hüseyin Kaya
Keyword(s):  
Monetary Policy ◽  
Industrial Production ◽  
Inflation Targeting ◽  
Predictive Power ◽  
Probit Model ◽  
Yield Spread ◽  
Production Growth ◽  
One Year ◽  
Turkish Case ◽  
Future Growth

This paper investigates the predictive power of the yield spread on future industrial production growth and recession in Turkey. Employing the linear regression model we find that the yield spread has predictive power when forecasting industrial production growth. The results also suggest that in the inflation targeting monetary policy period, predictive power of the yield spread has increased. Furthermore, we investigate whether the yield spread predicts recession by employing a probit model. Since no official recessions are available in Turkey, we determine the recessions using the BBQ methodology. The findings suggest that the yield spread predicts the recessions about one year ahead.

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.

The predictive power of yield spread: evidence from wavelet analysis

2013 ◽  
Vol 46 (3) ◽  
pp. 887-901 ◽  
Author(s):  
Arif Billah Dar ◽  
Amaresh Samantaraya ◽  
Firdous Ahmad Shah
Keyword(s):  
Wavelet Analysis ◽  
Predictive Power ◽  
Yield Spread

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.

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