The predictive power of the yield curve: a theoretical assessment

• 成果类型: Article
• 署名作者: de Lint, CR; Stolin, D
• 署名单位: Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.08.007
• 发表日期: 2003
• 页码: 1603-1622
• 关键词: General equilibrium; leading indicators; term structure of interest rates; yield curve

摘要

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.