Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature
Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature
复制标题
期限利差能否预测产出增长和衰退？
DOI：
10.20955/r.91.419-440
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
M. Wohar
中科院分区：
文献类型：
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作者：
David C. Wheelock;M. Wohar
这篇文章回顾了最近关于传播一词的有用性的研究（即，长期和短期国债收益率之间的差异）来预测经济活动的变化。大多数研究使用线性回归技术来预测产出的变化，或使用二分选择模型来预测衰退。另一些则使用时变参数模型，如马尔可夫转换模型和平滑过渡模型，来解释结构变化或其他非线性。许多研究发现，价差一词可以提前一年预测产出增长和衰退，但也有一些研究发现，价差的有用性因国家和时间而异。特别是，许多研究发现，近年来，价差预测产出增长的能力已经减弱，尽管它仍然是经济衰退的可靠预测指标。
This article surveys recent research on the usefulness of the term spread (i.e., the difference between the yields on long-term and short-term Treasury securities) for predicting changes in economic activity. Most studies use linear regression techniques to forecast changes in output or dichotomous choice models to forecast recessions. Others use time-varying parameter models, such as Markov-switching models and smooth transition models, to account for structural changes or other nonlinearities. Many studies find that the term spread predicts output growth and recessions up to one year in advance, but several also find its usefulness varies across countries and over time. In particular, many studies find that the ability of the term spread to forecast output growth has diminished in recent years, although it remains a reliable predictor of recessions.