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Some international evidence on the causal impact of the yield curve

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  • Bordo, Michael D.
  • Haubrich, Joseph G.

Abstract

We use a new technique developed by Shi, Phillips, and Hurn to examine the causal impact of the yield curve on industrial production in the UK, Germany and Japan. In line with previous work, we find that the impact of the yield curve varies over time and across countries. Periods of Granger causality are few for the UK and Germany, but more frequent in Japan.

Suggested Citation

  • Bordo, Michael D. & Haubrich, Joseph G., 2022. "Some international evidence on the causal impact of the yield curve," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001975
    DOI: 10.1016/j.frl.2021.102116
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    More about this item

    Keywords

    Yield curve;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative
    • G01 - Financial Economics - - General - - - Financial Crises

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