The term spread as a monthly cyclical indicator: an evaluation

被引：6

作者：

Boulier, BL ^{[1
]}

Stekler, HO ^{[1
]}

机构：

[1] George Washington Univ, Dept Econ, Washington, DC 20052 USA

来源：

ECONOMICS LETTERS | 2000年 / 66卷 / 01期

关键词：

term structure; business cycle; forecasting;

D O I：

10.1016/S0165-1765(99)00184-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper evaluates the monthly term spread as a predictor of the growth rates of the U.S. Industrial Production Index and whether or not a month is classified as recessionary using techniques previously applied to quarterly data. (C) 2000 Elsevier Science S.A, All rights reserved.

引用

页码：79 / 83

页数：5

共 7 条

[1]

Bernanke BenS., 1990, NEW ENGL ECON REV, P51

[2]

DUEKER MJ, 1997, FEDERAL RESERVE BANK, V79, P41

[3]

Ericsson NR, 1991, 406 BOARD GOV FED RE

[4] Predicting US recessions: Financial variables as leading indicators [J].

Estrella, A ;

Mishkin, FS .

REVIEW OF ECONOMICS AND STATISTICS, 1998, 80 (01) :45-61

[5] THE TERM STRUCTURE AS A PREDICTOR OF REAL ECONOMIC-ACTIVITY [J].

ESTRELLA, A ;

HARDOUVELIS, GA .

JOURNAL OF FINANCE, 1991, 46 (02) :555-576

[6] Indicator properties of the paper-bill spread: Lessons from recent experience [J].

Friedman, BM ;

Kuttner, KN .

REVIEW OF ECONOMICS AND STATISTICS, 1998, 80 (01) :34-44

[7]

Lahiri K., 1996, HANDB STAT, V14), P297

← 1 →