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Yield Gap Momentum as a Leading Indicator to Predict Turning Points in Industrial Production Growth

Author

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  • Shearer, P.R.

Abstract

The use of leading indicators to predict turning points in key ouput economic indicators is well-known. Recent work has shown that momentum indicators are an improvement on standard indicators. This paper analyses the likely performance of the momentum of the gap between long- and short-term interest rates as a leading indicator for output growth. The calculations are performed for the UK and Germany. In the UK's case the momentum is found to be a useful addition to a portfolio of leading indicators. Sensitivity analysis is also carried out to examine the stability of the leading indicator.

Suggested Citation

  • Shearer, P.R., 1998. "Yield Gap Momentum as a Leading Indicator to Predict Turning Points in Industrial Production Growth," Papers 1998:21, University of Hertfordshire - Business Schoool.
    • Handle: RePEc:fth:hertbu:1998:21
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    More about this item

    Keywords

    MEASURING INSTRUMENTS ; INTEREST RATE ; ECONOMIC GROWTH;
    All these keywords.

    JEL classification:

    • O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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