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An Econometric Study of the Term Structure and the Real Economy

In: The Creators of Inside Money

Author

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  • D. Gareth Thomas

    (University of Hertfordshire Business School)

  • David S. Bywaters

Abstract

This completely new chapter investigates U.S.A. data on GDP growth, interest rates and expectations from Livingstone and Michigan surveys using econometrics to show evidence that the expectations theory could be the basis of term structure. The work goes on to explore how well differences in U.S.A. interest rates at different maturities explain up-coming GDP growth, and to show the importance of the empirical inversion of interest-bearing assets in determining subsequent states of the economy and the risk of recession over the course of the loanable funds cycle. In a sense, this work explores the monetary policy transmission mechanism in the U.S.A. It is all entirely new to the book.

Suggested Citation

  • D. Gareth Thomas & David S. Bywaters, 2021. "An Econometric Study of the Term Structure and the Real Economy," Springer Books, in: The Creators of Inside Money, edition 2, chapter 0, pages 101-120, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-70366-0_7
    DOI: 10.1007/978-3-030-70366-0_7
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