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La pente des taux contient-elle de l’information sur l’activité économique future ?

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  • Franck Sédillot

Abstract

[eng] Term Structure : A Source of Information on Future Economic Activity ? . by Franck Sédillot . In this paper we investigate the link between term structure and growth in France, Germany and the United States by means of two approaches. The first, widely used, consists in regressing the growth rate ofGDPfor yield spread in various ranges. Through the second, less frequently employed for European data, we examine the usefulness of the yield spread for predicting a recession, in this case using a probit model. For both approaches we analyse the in-sample forecasting ability and the out-of-sample accuracy of the outcomes. The stability of the various relations, based on time-varying root mean square errors, is also considered. [fre] Nous étudions dans ce papier le lien entre pente des taux et croissance en Allemagne, aux États-Unis et en France. Cette relation est analysée selon deux approches. La première, communément mise en oeuvre, consiste à régresser le taux de croissance du PIB pour différents horizons sur le spread de taux. Dans la seconde, plus rarement appliquée sur données européennes, c’est l’occurrence d’une récession que l’on cherche à prévoir. Dans ce cas, il faut recourir à l’estimation d’un modèle probit. Pour chacun des termes de cette alternative, une analyse des propriétés prédictives en échantillon et hors échantillon est menée. La stabilité des différentes relations, appréhendée au travers des erreurs de prévision récursives et glissantes, est aussi abordée.

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  • Franck Sédillot, 2001. "La pente des taux contient-elle de l’information sur l’activité économique future ?," Économie et Prévision, Programme National Persée, vol. 147(1), pages 141-157.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_147_1_6218
    DOI: 10.3406/ecop.2001.6218
    Note: DOI:10.3406/ecop.2001.6218
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    3. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.

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    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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