The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?

Evgenidis, Anastasios; Papadamou, Stephanos; Siriopoulos, Costas

doi:10.1016/j.jbusres.2018.08.041

Cited by 19 publications

(11 citation statements)

References 56 publications

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“…The predictive power of the yield curve tends to be higher at short term horizons, especially in the cumulative case. This result is in line with many previous studies which highlight a better forecasting ability of the yield spread for short horizons than longer horizons (Evgenidis et al, 2020). Indeed, the reduction in the predictive power of the yield spread seems to coincide with a reduction in the term premium.…”

Section: Rolling Windowssupporting

confidence: 91%

The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

Ibarra-Ramírez¹

2021

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Este trabajo analiza si existe una relación entre la pendiente de la curva de rendimientos y la actividad económica futura en México para el período 2004-2019. En particular, se evalúa si dicha relación depende de la prima de plazo. Para este propósito, se estima un modelo de umbral en el cual la relación entre la curva de rendimientos y la actividad económica futura, medida ya sea como el crecimiento del producto o como la probabilidad de una contracción, depende de si la prima por plazo se encuentra por encima o por debajo de un umbral estimado. Los resultados principales indican que la pendiente de la curva de rendimientos parece anticipar el comportamiento de la actividad económica solo cuando la prima por plazo se encuentra por encima de un umbral. Los resultados también sugieren que la pendiente de la curva de rendimientos tiene poder predictivo sobre la probabilidad de enfrentar una contracción en el futuro solo cuando la prima por plazo está por encima de un umbral. El valor estimado para dicho umbral depende del horizonte de pronóstico y la medida de la actividad económica.

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Section: Rolling Windowssupporting

confidence: 91%

The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

Ibarra-Ramírez¹

2021

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“…The final phase of the fuzzy approach is defuzzification, in which last step we obtain the output value y x of the multicriteria model of an alternative evaluation (a 1 ,…,a c )  A as the mean value of the elements yB agg weighted by the values µ agg (y) of their significancesee (2). Therefore…”

Section: Methodology: the Introduction To Fuzzy Approachmentioning

confidence: 99%

“…It is clear that crisis impact and the way the individual EU states get over is going to be very uneven. How well and quickly the countries will pull together relies upon many external and internal factors [2]. There is not only the seriousness of the pandemic spread and the strictness of containment measures in play, but a great role belongs to particular economic exposures and pre-existing conditions as well as the policy responses.…”

Section: Introductionmentioning

confidence: 99%

Fuzzy Estimate of the Development of Passenger Cars Production in the Czech Republic

Hašková

2021

SHS Web Conf.

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The global outbreak of the COVID-19 and the measures taken, disrupted fundamentally economies around the world. Almost all sectors were affected. The experts have long emphasised the Czech economy’s dependence on the automotive industry. Car producers and companies linked to them have been loaded by severe difficulties after the pandemic outbreak. The article shows one of the constructive ways how to forecast a change in the passenger cars production in the Czech Republic in 2020. Metodologically we lean on a procedure of the fuzzy approach. The prediction itself cannot be derived from the series of historical data of the variables that are related to the target output variable as shown in the fuzzy prediction of GDP for 2018 by this author. Due to the extreme situation caused by pandemic outbreak, the role of expert predictions come intensively into play with their outcomes becoming the set of input data to the fuzzy model. The result of the fuzzy forcast of a change in the cars production in CZ for 2020 shows a greater drop than the official statistical model claims.

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“…It is also worth mentioning the early warning signals in the end of 2007 as evidenced by the drop in the economic sentiment indicator and the increase in CISS. In addition, the inverted yield curve, which interestingly becomes even negative in 2007, is another warning sign of the impending recession (see also Evgenidis & Siriopoulos, 2014;Evgenidis, Papadamou, & Siriopoulos, 2018 who provide evidence on the ability of the yield spread to predict future recessions). Last, the clear downward trend of the shadow rate highlights the adoption of unconventional policy operations in the aftermath of the global financial crisis while later on, in 2015, the ECB undertook large purchases of public sector bonds that expanded its balance sheet (as indicated by the respective series).…”

Section: Datasetmentioning

confidence: 99%

The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR

Evgenidis

Papadamou

2020

Int. J Fin Econ

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This paper employs a medium scale Bayesian VAR model to provide a rich picture of the transmission of unconventional monetary policy (UMP) shocks in various dimensions of the economy, and to shed light on the appropriate policy mix that the central bank could adopt to fulfil its price stability mandate. We show that UMP shocks have a significant positive impact on both economic activity and inflation; stem financial market stress episodes and boost economic sentiment. Additionally, several channels seem to have been activated, including the exchange rate, inflation expectations and the bank lending channel. Counterfactual policy analysis suggests that a policy mix that combines the use of permanently negative interest rates with a balance sheet expansion at a steady pace over a long period, could bring inflation closer to the target. Alternative policy scenarios that, either give more weight on the purchases during the first months or, terminate asset purchases too early, would fail to keep inflation on track to meet its target.

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The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?

Cited by 19 publications

References 56 publications

The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

Fuzzy Estimate of the Development of Passenger Cars Production in the Czech Republic

The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR

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The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?

Cited by 19 publications

References 56 publications

The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

Fuzzy Estimate of the Development of Passenger Cars Production in the Czech Republic

The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR

Contact Info

Product

Resources

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The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?