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Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability

  • DUARTE, A.

    ()

    (.Departamento de Economía Aplicada y Política Económica, Universidad de Alicante, España.Teléfono: 965 90 93 03.)

  • VENETIS, I.

    (Centre of Planning and Economic Research (KEPE), Atenas, Grecia.)

  • PAYÁ, I.

    (Departamento de Fundamentos de Análisis Económico, Universidad de Alicante, España.)

El presente trabajo tiene por objeto investigar la eficiencia de la curva de rendimientos para predecir la actividad económica real en el área del Euro. Durante los últimos veinte años, diversos estudios han demostrado que la curva de rendimientos es un indicador adelantado, estadísticamente significativo, del futuro de la actividad económica. Sin embargo, estudios recientes han documentado, que la relación entre la curva de rendimientos y el crecimiento económico puede no ser estable a lo largo del tiempo. En este trabajo se utilizan datos agregados para el conjunto de la UEM, durante el período 1970:1 – 2000:4, y demuestra que la curva de rendimientos es un indicador eficiente y estable para predecir el crecimiento de la producción real en la UEM. La metodología econométrica empleada consiste en modelos de regresión lineal y modelos no lineales con umbral. Los contrastes de estabilidad utilizados sugieren, en el modelo lineal, la existencia de un cambio estructural a finales del año 1992. La curva de rendimientos predice linealmente el crecimiento real de la producción con un año de anticipación, y los contrastes estadísticos sobre la capacidad de predicción fuera del período muestral, sugieren que los modelos no lineales son más eficientes, precisos, y estables que los modelos lineales. This paper investigates the efficiency of the yield curve to predict real output growth in the Euro area. During the last twenty years several studies have shown that the yield curve is a significant leading indicator of future real activity. However, recent research has documented that the relationship between the yield curve and future output may not be stable over time. This paper uses aggregate data for the EMU countries over the period 1970:1 – 2000:4, and shows that the yield curve is an efficient and stable leading indicator of real output growth in the EMU. The econometric methodology includes both linear and non-linear threshold regression models. Stability tests point out a structural break in the linear model at the end of 1992. In the linear model the yield curve predicts output growth one-year ahead and statistical tests on out-of-sample forecasts suggest that the non-linear model is more efficient, accurate, and stable than the linear model.

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Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 22 (2004)
Issue (Month): (Abril)
Pages: 21

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Handle: RePEc:lrk:eeaart:22_1_8
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