Yield Spread as a Leading Indicator of Real Economic Activity; An Empirical Exercise on the Indian Economy
Download full text from publisher
References listed on IDEAS
- Frederic S. Mishkin, 1989. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
- Bernard, Henri & Gerlach, Stefan, 1998.
"Does the Term Structure Predict Recessions? The International Evidence,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
- Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements.
- Bernard, Henri J & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," CEPR Discussion Papers 1892, C.E.P.R. Discussion Papers.
- Fama, Eugene F., 1986. "Term premiums and default premiums in money markets," Journal of Financial Economics, Elsevier, vol. 17(1), pages 175-196, September.
- Singh, Bhupal & Dhal, Sarat C., 1998. "Repo auction formats, bidders' behaviour and money market response in India," MPRA Paper 12147, University Library of Munich, Germany.
- Arturo Estrella & Frederic S. Mishkin, 1995.
"The term structure of interest rates and its role in monetary policy for the European Central Bank,"
9526, Federal Reserve Bank of New York.
- 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.
- Evans, Charles L. & Marshall, David A., 1998.
"Monetary policy and the term structure of nominal interest rates: Evidence and theory,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 49(1), pages 53-111, December.
- Charles L. Evans & David A. Marshall, 1997. "Monetary policy and the term structure of nominal interest rates: evidence and theory," Working Paper Series, Macroeconomic Issues WP-97-10, Federal Reserve Bank of Chicago.
- 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 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Catherine Bonser-Neal & Timothy R. Morley, 1997. "Does the yield spread predict real economic activity? : a multicountry analysis," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 37-53.
- Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
- Peel, David A. & Taylor, Mark P., 1998. "The slope of the yield curve and real economic activity: tracing the transmission mechanism," Economics Letters, Elsevier, vol. 59(3), pages 353-360, June.
- Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pami Dua & Nishita Raje, 2010.
"Determinants of Weekly Yields on Government Securities in India,"
- Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working papers 187, Centre for Development Economics, Delhi School of Economics.
- Rudra Sensarma & Indranil Bhattacharyya, 2016.
"Measuring monetary policy and its impact on the bond market of an emerging economy,"
Macroeconomics and Finance in Emerging Market Economies,
Taylor & Francis Journals, vol. 9(2), pages 109-130, July.
- Sensarma, Rudra & Bhattacharyya, Indranil, 2015. "Measuring monetary policy and its impact on the bond market of an emerging economy," MPRA Paper 81067, University Library of Munich, Germany.
- Bhaduri, Saumitra & Saraogi, Ravi, 2010. "The predictive power of the yield spread in timing the stock market," Emerging Markets Review, Elsevier, vol. 11(3), pages 261-272, September.
More about this item
KeywordsCapital markets; India; Yield curve; yield spread; leading indicators; working capital; probability; government securities; equation; forecasting; Prices; Business Fluctuations; and Cycles: Forecasting and Simulation; Money and Interest Rates: Forecasting and Simulation; Lead Indicators;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-08-19 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:02/91. 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: (Jim Beardow) or (Hassan Zaidi). General contact details of provider: http://edirc.repec.org/data/imfffus.html .