The Information Content of the Paper-Bill Spread: The Case of Canada
AbstractConsiderable attention has been given to examining the information content of the paper-bill spread in terms of predicting U.S. real economic activity. However, the results have been mixed. This paper examines the robustness of the paper-bill spread as an indicator variable of real output growth by studying Canadian data. This study uses the newly developed generalized forecast error variance decomposition technique [Koop, et al. (1996), Pesaran and Shin (1998)]. The results indicate that the information content of the paper-bill spread in Canada is non-trivial even when the performance of the U.S. economy is taken into account. Moreover, Canadian economic activity may not be tied directly to how well the U.S. is performing per se, but is instead significantly effected by unexpected changes to the growth rate of U.S. real output.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Missouri Valley Economic Association in its journal The Journal of Economics.
Volume (Year): 26 (2000)
Issue (Month): 2 ()
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- G1 - Financial Economics - - General Financial Markets
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ken Brown).
If references are entirely missing, you can add them using this form.