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Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy

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  • Mr. K. Kanagasabapathy
  • Mr. Rajan Goyal

Abstract

There is growing evidence that the yield spread could serve as a leading indicator of real economic activity. This paper is an attempt to test this hypothesis for the Indian economy by relating movements in the yield spread in the government securities market to movements in the index of industrial production. The results show that yield spread could, inter alia, be considered as a leading indicator of industrial activity in India.

Suggested Citation

  • Mr. K. Kanagasabapathy & Mr. Rajan Goyal, 2002. "Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy," IMF Working Papers 2002/091, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:2002/091
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    References listed on IDEAS

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    Cited by:

    1. Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working Papers id:2834, eSocialSciences.
    2. 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.
    3. 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.

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