The predictive power of the yield curve: a theoretical assessment

被引：26

作者：

de Lint, CR

Stolin, D

机构：

[1] PAM Fixed Income, Pictet, CH-1205 Geneva, Switzerland

[2] Toulouse Business Sch, F-31000 Toulouse, France

来源：

JOURNAL OF MONETARY ECONOMICS | 2003年 / 50卷 / 07期

关键词：

general equilibrium; leading indicators; term structure of interest rates; yield curve;

D O I：

10.1016/j.jmoneco.2003.08.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Although the empirical evidence about the leading indicator property of the term spread (LIPTS) is powerful, this property lacks a rigorous theoretical foundation. This paper investigates whether dynamic equilibrium asset pricing models are able to provide a theoretical underpinning for the LIPTS. We study an endowment and a production economy. The endowment economy is unable to account for the LIPTS. On the other hand, a model with endogenous production provides a reasonable theoretical justification for the LIPTS. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：1603 / 1622

页数：20

共 30 条

[1] RISK PREMIUMS IN THE TERM STRUCTURE - EVIDENCE FROM ARTIFICIAL ECONOMIES [J].