The predictive power of the yield curve: a theoretical assessment
The predictive power of the yield curve: a theoretical assessment
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DOI：
10.1016/j.jmoneco.2003.08.007
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发表时间：
2003-10-01
影响因子：
4.1
通讯作者：
Stolin, D
中科院分区：
文献类型：
--
作者：
de Lint, CR;Stolin, D
尽管有关期限利差的领先指标性质的经验证据是强有力的，但这一性质缺乏严密的理论基础。本文考察了动态均衡资产定价模型是否能够为LIPTS提供理论支撑。我们研究的是天赋和生产经济。养老经济无法解释LIPTS。另一方面，内生生产模型为LIPTS提供了合理的理论依据。(C)2003爱思唯尔B.V.保留所有权利。
Although the empirical evidence about the leading indicator property of the term spread (LIPTS) is powerful, this property lacks a rigorous theoretical foundation. This paper investigates whether dynamic equilibrium asset pricing models are able to provide a theoretical underpinning for the LIPTS. We study an endowment and a production economy. The endowment economy is unable to account for the LIPTS. On the other hand, a model with endogenous production provides a reasonable theoretical justification for the LIPTS. (C) 2003 Elsevier B.V. All rights reserved.