INTERNATIONAL TERM STRUCTURES AND REAL ECONOMIC-GROWTH

• 成果类型: Article; Proceedings Paper
• 署名作者: PLOSSER, CI; ROUWENHORST, KG
• 署名单位: Yale University; University of Rochester
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(94)90017-5
• 发表日期: 1994
• 页码: 133-155
• 关键词: economic fluctuations; monetary policy

摘要

This paper extends previous work on the information in the term structure about future real economic growth. For the U.S. and Germany, and to a lesser extent for the U.K., we find evidence that the long end of the term structure has information about future growth of industrial production beyond expectations about future monetary policy. We also find evidence that foreign term structures can forecast domestic low frequency movements in economic activity especially in countries that experience high and variable rates of inflation.