How stable is the predictive power of the yield curve? Evidence from Germany and the United States
How stable is the predictive power of the yield curve? Evidence from Germany and the United States
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DOI：
10.1162/003465303322369777
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发表时间：
2003-08-01
影响因子：
8
通讯作者：
Schich, S
中科院分区：
文献类型：
--
作者：
Estrella, A;Rodrigues, AP;Schich, S
过去十年的实证研究揭示了收益率曲线的斜率与随后的真实的活动和通货膨胀之间的预测关系。其中一些关系非常重要，但它们的理论动机表明，它们可能不会随着时间的推移而稳定。我们使用最新的计量经济学技术进行突变检验，以检验经验关系实际上是否稳定。我们考虑预测经济增长或通货膨胀的连续模型，以及预测经济衰退或通货膨胀压力的二元模型。在每一个案例中，我们都借鉴了德国和美国的证据。预测真实的经济活动的模型比预测通货膨胀的模型更稳定，二元模型比连续模型更稳定。预测经济衰退的模型在德国和美国的整个样本期内都是稳定的。
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure. In each case, we draw on evidence from Germany and the United States. Models that predict real activity are somewhat more stable than those that predict inflation, and binary models are more stable than continuous models. The model that predicts recessions is stable over our full sample period in both Germany and the United States.