Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?
Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?
复制标题
评估欧元区金融利差的预测能力：参数不稳定重要吗？
DOI：
10.1007/s00181-006-0098-x
复制
发表时间：
2007
影响因子：
3.2
通讯作者：
A. Nobili
中科院分区：
文献类型：
--
作者：
A. Nobili
在实证文献中，有一个广泛的共识，即金融利差不能构成对未来产出增长和通货膨胀的广泛评估，因为二元估计回归随时间的推移并不稳定，并导致相对较差的样本外预测性能（例如J Econ Liter 41：788-829，2003）。这个结论出现在美国，以及几个欧洲国家。在本文中，我们检查是否可以恢复使用技术，考虑到潜在的参数不稳定性的边际预测内容的一些金融利差（收益率曲线的斜率，反向收益率差距和信贷利差）的宏观经济预测在欧元区。我们建立了一个时变系数的季度贝叶斯向量自回归模型，包括目标变量，以及其他货币政策指标，作为基准。然后，作为领先指标的利差的属性进行评估，通过增加这个基准BVAR与利差，一次一个。我们发现，在我们的模型中，系数的时间变化是一个相关的问题，特别是预测产出增长，但金融利差仍然没有或可以忽略不计的边际预测内容的产出增长和通货膨胀。总的来说，我们的研究结果证实，没有现成的金融价差，可以取代一个包容的多变量模型预测的目标变量在欧元区。
In the empirical literature there is wide consensus that financial spreads cannot constitute a broadly based assessment on future output growth and inflation because the bivariate estimated regressions are not stable over time and lead to relatively poor out-of-sample forecasting performance (e.g. J Econ Liter 41:788–829, 2003). This conclusion arised for the USA, as well as for several European countries. In this paper we check whether the marginal predictive content of some financial spreads (the slope of the yield curve, the reverse yield gap and the credit spread) for macroeconomic forecasting in the euro area can be recovered using techniques taking into account potential parameters instability. We set up a quarterly Bayesian vector autoregression model with time-varying coefficients, comprising both target variables, as well as other monetary policy indicators, to serve as a benchmark. Then, the properties of the spreads as leading indicators are assessed by augmenting this benchmark BVAR with the spreads, one at a time. We find time variation of the coefficients to be a relevant issue in our model, especially for forecasting output growth, but financial spreads continue to have no or negligible marginal predictive content for both output growth and inflation. Overall, our results confirm that there is no ready-to-use financial spread that can replace an encompassing multivariate model for the prediction of target variables in the euro area.