Advanced Search
MyIDEAS: Login to save this paper or follow this series

An Empirical Study on Stabilities of the Predictive Role of the Yield Spread for Future Economic Activity and the Monetary Policy Stance in Japan

Contents:

Author Info

  • Yuichi Fukuta

    ()
    (Graduate School of Economics, Osaka University)

  • Hiroshi Nakaota

    (Faculty of Social Relations, Kyoto Bunkyo University)

Registered author(s):

    Abstract

    This paper examines the relationship between the stability of the monetary policy reaction function and that of the predictive power of the yield spread for future economic activity using Japanese quarterly data between 1982:3 and 2005:2. We find that four structural changes occurred in the reaction function at 1985:4, 1991:2, 1994:4 and 2000:4 on the basis of Bai and Perron tests for unknown multiple breaks. The estimation results of the reaction function in the five subsamples show that, whereas the monetary policy reacts positively to the output gap before the mid-1990s, subsequently the reaction tends to decline and becomes almost nonexistent in the 2000s. The investigation of the predictive power of the yield spread for future GDP growth shows that before the mid-1990s, the spread contains information on future GDP growth, but that the spread loses its prediction power in the 2000s. This evidence shows that the stable monetary policy reaction to the output gap may cause the predictability of the yield spread for future GDP growth.

    Download Info

    To 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 Info

    Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 12-17.

    as in new window
    Length: 18 pages
    Date of creation: Sep 2012
    Date of revision:
    Handle: RePEc:osk:wpaper:1217

    Contact details of provider:
    Email:
    Web page: http://www.econ.osaka-u.ac.jp/
    More information through EDIRC

    Related research

    Keywords: monetary policy reaction function; the information in the yield spread on future economic activity; structural changes;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:osk:wpaper:1217. See general 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: (Atsuko SUZUKI).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.