Downturns And Changes In The Yield Slope
Download Downturns And Changes In The Yield Slope full books in PDF, epub, and Kindle. Read online free Downturns And Changes In The Yield Slope ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Mirko Abbritti |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Downturns and Changes in the Yield Slope Book in PDF, Epub and Kindle
We show that the slope of the sovereign yield curve not only predicts future economic activity through its level but also through its changes. Our results with US data show that the inclusion of the first difference of the slope in the traditional yield slope regressions significantly increases the explanatory power of the yield curve. Decomposing the yield slope changes into those of the risk-neutral spread and of the term premium also brings insights into future economic activity forecast. We find that, while positive changes to the risk-neutral spread predict lower economic activity in the short-run (1-3 months), positive changes to the term premium predict lower economic activity in the medium run (3-12 months). These results are obtained at both monthly (industrial production, unemployment) and quarterly (GDP growth, unemployment) frequencies and also in probit-type recession regressions.
| Author | : Zuliu Hu |
| Publisher | : International Monetary Fund |
| Total Pages | : 40 |
| Release | : 1993-03 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Yield Curve and Real Activity Book in PDF, Epub and Kindle
The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic activity. A closed-form formula for the term structure of interest rates is derived. It is shown that the term structure embodies the market’s expectation about changes in the macroeconomic fundamental--the growth in real aggregate output of the economy. The paper then documents the use of bond market data for predicting GDP growth in the G-7 industrial countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of-sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. One practical implication is that it may be useful to add some measure of the term structure to the list of
| Author | : Reuben A. Kessel |
| Publisher | : |
| Total Pages | : 132 |
| Release | : 1965 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Cyclical Behavior of the Term Structure of Interest Rates Book in PDF, Epub and Kindle
| Author | : |
| Publisher | : |
| Total Pages | : 10 |
| Release | : 2019 |
| Genre | : Investment analysis |
| ISBN | : |
Download US Inverted Yield Curve Book in PDF, Epub and Kindle
The inverted yield curve is feared by many investors, bankers and economists, as it is a signal that a recession in the global economy might soon take place. On the other hand, some argue that it is “false advertising” as it is only indicating the movements of long-term bond yields against short-term bond yields and little more. However, when these indicators start to act abnormally, this is a strong message that something dramatic is happening in the economy. The inverted yield curve and the term spread, the difference between long-term interest rates and short-term interest rates, have been indicators of slowdowns in the US economy for over 60 years, and in all instances except one, it correctly signaled that recession was coming.
| Author | : Nerea M. Pérez |
| Publisher | : Nova Science Publishers |
| Total Pages | : 190 |
| Release | : 2009 |
| Genre | : Business & Economics |
| ISBN | : |
Download Recessions Book in PDF, Epub and Kindle
A critical consideration in understanding business cycles is the amplification and propagation of shocks to the economic system. Many recessions seem to arise without a clearly identifiable cause or at least one of significant magnitude to justify an economy-wide recession. How can a small shock cause large changes in the economy? What are the mechanisms that amplify a modest shock such that a serious recession ensues? Despite the persistent search for a mechanism for business cycle amplification and propagation, much research in business cycles seems to ignore the likely role of the financial system. If a shock to the economy inhibits the capital allocation capability of an economy, then a seemingly mild shock may be amplified through its impact on new investment thereby snuffing out economic growth and causing a recession. This book provides new research on the field of recessions from around the globe.
| Author | : Periklis Gogas |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download The Slope and the Curvature of the Yield Curve in Recession Forecasting Book in PDF, Epub and Kindle
In this paper, we investigate the ability of two popular models to forecast the deviation of GDP from its long-run trend, i.e. inflationary and output gaps. In doing so, we exploit the information provided by the yield curve that is documented in the literature as a good predictor of economic activity. We combine and train our forecasting model using interest rates from Treasury Bills and Government Bond rates for the period 1976Q3 to 2011Q4, in conjunction with the quarterly real seasonally adjusted GDP for the same period. Our results show that we can achieve an overall forecasting accuracy of 80% on out-of-sample data. However, our main focus in this paper is to construct a forecasting model for the recessions. Perfect accuracy in recession forecasting is achieved in more than one of the created models. The forecasting performance of our model strengthens the conviction that the yield curve can be a useful and accurate predictive tool.
| Author | : Luca Benzoni |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Why Does the Yield-curve Slope Predict Recessions? Book in PDF, Epub and Kindle
| Author | : Steven D. Hanson |
| Publisher | : |
| Total Pages | : 384 |
| Release | : 2017 |
| Genre | : Financial statements |
| ISBN | : |
Download Financial Management for Small Businesses Book in PDF, Epub and Kindle
| Author | : Bandi Kamaiah |
| Publisher | : Springer |
| Total Pages | : 227 |
| Release | : 2018-01-12 |
| Genre | : Business & Economics |
| ISBN | : 9811058105 |
Download Current Issues in Economics and Finance Book in PDF, Epub and Kindle
This book discusses wide topics related to current issues in economic growth and development, international trade, macroeconomic and financial stability, inflation, monetary policy, banking, productivity, agriculture and food security. It is a collection of seventeen research papers selected based on their quality in terms of contemporary topic, newness in the methodology, and themes. All selected papers have followed an empirical approach to address research issues, and are segregated in five parts. Part one covers papers related to fiscal and price stability, monetary policy and economic growth. The second part contains works related to financial integration, capital market volatility and macroeconomic stability. Third part deals with issues related to international trade and economic growth. Part four covers topics related to productivity and firm performance. The final part discusses issues related to agriculture and food security. The book would be of interest to researchers, academicians as a ready reference on current issues in economics and finance.
| Author | : Michael D. Bordo |
| Publisher | : University of Chicago Press |
| Total Pages | : 545 |
| Release | : 2013-06-28 |
| Genre | : Business & Economics |
| ISBN | : 0226066959 |
Download The Great Inflation Book in PDF, Epub and Kindle
Controlling inflation is among the most important objectives of economic policy. By maintaining price stability, policy makers are able to reduce uncertainty, improve price-monitoring mechanisms, and facilitate more efficient planning and allocation of resources, thereby raising productivity. This volume focuses on understanding the causes of the Great Inflation of the 1970s and ’80s, which saw rising inflation in many nations, and which propelled interest rates across the developing world into the double digits. In the decades since, the immediate cause of the period’s rise in inflation has been the subject of considerable debate. Among the areas of contention are the role of monetary policy in driving inflation and the implications this had both for policy design and for evaluating the performance of those who set the policy. Here, contributors map monetary policy from the 1960s to the present, shedding light on the ways in which the lessons of the Great Inflation were absorbed and applied to today’s global and increasingly complex economic environment.
