Ciclo de la economía española y contenido informativo de los tipos de interés
En este trabajo se considera, desde un punto de vista empírico, el contenido informativo de los tipos deinterés para prever la evolución futura de la economía española mediante la determinación de la probabilidad de que ésta se encuentre en una etapa recesiva a distintos horizontes temporales de predicción. Para ello, se compara la capacidad predictiva de los tipos de interés y de los diferenciales de tipos de interés (spreads) con la de otras variables como el comportamiento pasado del PIB y diversos índices sintéticos adelantados elaborados por el INE. Los resultados obtenidos sugieren que la relevancia del contenido informativo de los tipos de interés para predecir si la economía española se encontrará en el futuro en una etapa recesiva no es excesivamente elevada, puesto que los tipos de interés y los diferenciales entre tipos no aportan, en un número significativo de ocasiones, información adicional relevante a la de las otras variables consideradas en el análisis. This article studies the informative content of interest rates to forecast the future evolution of the Spanish economy through the determination of the probability of it being in recession with different predictive time horizons. The results obtained suggest that the importance of the informative content of interest rates to predict whether the Spanish economy will in the future be in recession is not excessively high, as interest rates and differentials between rates do not contribute, on a significant number of occasions, additional information to that provided by the past behaviour of GDP and by the evolution of a composite leading economic indicator constructed starting from non-financial economic variables.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 20 (2002)
Issue (Month): (Diciembre)
|Contact details of provider:|| Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN|
Phone: (34) 983 423320
Fax: (34) 983 184568
Web page: http://www.revista-eea.net
More information through EDIRC
|Order Information:|| Web: http://www.revista-eea.net Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December.
- Gerlach, Stefan, 1997.
"The Information Content of the Term Structure: Evidence for Germany,"
Springer, vol. 22(2), pages 161-79.
- Stefan Gerlach, 1995. "The information content of the term structure: evidence for Germany," BIS Working Papers 29, Bank for International Settlements.
- Gerlach, Stefan, 1995. "The Information Content of the Term Structure: Evidence for Germany," CEPR Discussion Papers 1264, C.E.P.R. Discussion Papers.
- Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-14, Nov.-Dec..
- Arturo Estrella & Gikas A. Hardouvelis, 1989.
"The term structure as a predictor of real economic activity,"
8907, Federal Reserve Bank of New York.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-76, June.
- Arturo Estrella & Anthony P. Rodrigues, 1998. "Consistent covariance matrix estimation in probit models with autocorrelated errors," Staff Reports 39, Federal Reserve Bank of New York.
- N. Funke, 1997. "Yield spreads as predictors of recessions in a core European economic area," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 695-697.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
- Francis X. Diebold & Glenn D. Rudebusch, 1987.
"Scoring the leading indicators,"
Special Studies Papers
206, Board of Governors of the Federal Reserve System (U.S.).
- Arturo Estrella, 1997.
"A new measure of fit for equations with dichotomous dependent variables,"
9716, Federal Reserve Bank of New York.
- Estrella, Arturo, 1998. "A New Measure of Fit for Equations with Dichotomous Dependent Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 198-205, April.
- Joseph G. Haubrich & Ann M. Dombrosky, 1996. "Predicting real growth using the yield curve," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 26-35.
- Jorion, Philippe & Mishkin, Frederic, 1991.
"A multicountry comparison of term-structure forecasts at long horizons,"
Journal of Financial Economics,
Elsevier, vol. 29(1), pages 59-80, March.
- Philippe Jorion & Frederic Mishkin, 1991. "A Multi-Country Comparison of Term Structure Forecasts at Long Horizons," NBER Working Papers 3574, National Bureau of Economic Research, Inc.
- Arturo Estrella & Frederic S. Mishkin, 1995.
"The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank,"
NBER Working Papers
5279, National Bureau of Economic Research, Inc.
- Arturo Estrella & Frederic S. Mishkin, 1995. "The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York.
- Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-82, June.
- Galbraith, John W. & Tkacz, Greg, 2000.
"Testing for asymmetry in the link between the yield spread and output in the G-7 countries,"
Journal of International Money and Finance,
Elsevier, vol. 19(5), pages 657-672, October.
- John W. Galbraith & Greg Tkacz, 1999. "Testing For Asymmetry In The Link Between The Yield Spread And Output In The G-7 Countries," Departmental Working Papers 1999-02, McGill University, Department of Economics.
- Pierre L. Siklos & Andrew G. Barton, 2001. "Monetary aggregates as indicators of economic activity in Canada: empirical evidence," Canadian Journal of Economics, Canadian Economics Association, vol. 34(1), pages 1-17, February.
- Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, vol. 16(1), pages 39-58.
- Atta-Mensah, Joseph & Tkacz, Greg, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Staff Working Papers 98-5, Bank of Canada.
- Sharon Kozicki, 1997. "Predicting real growth and inflation with the yield spread," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 39-57.
- Michael Dotsey, 1998. "The predictive content of the interest rate term spread for future economic growth," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 31-51.
- Norbert Funke, 1997. "Predicting recessions: Some evidence for Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 90-102, March.
- Mishkin, Frederic S., 1990.
"What does the term structure tell us about future inflation?,"
Journal of Monetary Economics,
Elsevier, vol. 25(1), pages 77-95, January.
- Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
- Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
- Benjamin M. Friedman & Kenneth N. Kuttner, 1994.
"Indicator properties of the paper-bill spread: lessons from recent experience,"
Working Paper Series, Macroeconomic Issues
94-24, Federal Reserve Bank of Chicago.
- Benjamin M. Friedman & Kenneth N. Kuttner, 1998. "Indicator Properties Of The Paper-Bill Spread: Lessons From Recent Experience," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 34-44, February.
- Benjamin M. Friedman & Kenneth N. Kuttner, 1994. "Indicator Properties of the Paper-Bill Spread: Lessons from Recent Experiences," NBER Working Papers 4969, National Bureau of Economic Research, Inc.
- Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
- Norman R. Swanson & Jeffery D. Amato, 2000. "The real-time predictive content of money for output," BIS Working Papers 96, Bank for International Settlements.
- Reinhart, Carmen & Reinhart, Vincent, 1996. "Forecasting turning points in Canada," MPRA Paper 13884, University Library of Munich, Germany.
- Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
- Michael J. Dueker, 1997. "Strengthening the case for the yield curve as a predictor of U.S. recessions," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 41-51.
- Tzavalis, E. & Wickens, M.R., 1995.
"Forecasting Inflation from the Term Structure,"
9519, Exeter University, Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:20_3_4. 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: (Beatriz Rodríguez Prado)
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.