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dc.contributor.authorHogrefe, Jensen_US
dc.date.accessioned2009-01-29T14:13:35Z-
dc.date.available2009-01-29T14:13:35Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/22028-
dc.description.abstractThe yield spread is a well documented leading indicator of GDP growth. Estrella (2005) proposes a model to explain this relationship. Within the model, the leading properties of the yield spread are determined by the monetary policy. Accordingly, changes of the leading properties that have been reported in many studies should correspond to changes of the monetary policy. This paper analyzes whether and what form of time variation of the leading properties can be found in four major industrialized countries (France, Germany, the UK and the US). The results are connected with time varying behavior of the monetary policy by modeling a joint state dependency of the leading properties and the reaction parameters of the monetary policy. Time variation of the leading properties seem to exist in all countries under consideration. For the US and Germany they are best modeled as a structural break while France and the UK exhibit recurring phases. Evidence for a link between the time variations of the monetary policy and the leading properties can be found. However, a clear determination of the leading properties by the monetary policy cannot be confirmed.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesEconomics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,12en_US
dc.subject.jelC32en_US
dc.subject.jelE52en_US
dc.subject.jelE37en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordleading indicatoren_US
dc.subject.keywordyield spreaden_US
dc.subject.keywordGDP growthen_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordMarkov-Switchingen_US
dc.titleThe yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn530643170en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cauewp:5585-
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

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