How stable is the predictive power of the yield curve? Evidence from Germany and the United States

• 成果类型: Article
• 署名作者: Estrella, A; Rodrigues, AP; Schich, S
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Organisation for Economic Co-operation & Development (OECD); Deutsche Bundesbank
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465303322369777
• 发表日期: 2003-08
• 页码: 629-644
• 关键词: term-structure; generalized-method; financial spreads; structural-change; multicountry; INFORMATION; variables; models; US

摘要

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.