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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

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.

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  • Franck Sédillot, 2001. "La pente des taux contient-elle de l'information sur l'activité économique future ?," Economie & Prévision, La Documentation Française, vol. 147(1), pages 141-157.
    • Handle: RePEc:cai:ecoldc:ecop_147_0141
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    1. repec:hal:spmain:info:hdl:2441/2942 is not listed on IDEAS
    2. Jérôme Creel & Jacky Fayolle, 2002. "La Banque centrale et l'Union monétaire européennes : les tribulations de la crédibilité," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 211-244.
    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.
    4. repec:spo:wpmain:info:hdl:2441/2942 is not listed on IDEAS

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    JEL classification:

    • 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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