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dc.contributor.authorHogrefe, Jensen
dc.date.accessioned2009-01-29T14:13:35Z-
dc.date.available2009-01-29T14:13:35Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aKiel University, Department of Economics |cKielen
dc.relation.ispartofseries|aEconomics Working Paper |x2007-12en
dc.subject.jelC32en
dc.subject.jelE52en
dc.subject.jelE37en
dc.subject.jelE43en
dc.subject.ddc330en
dc.subject.keywordleading indicatoren
dc.subject.keywordyield spreaden
dc.subject.keywordGDP growthen
dc.subject.keywordmonetary policyen
dc.subject.keywordMarkov-Switchingen
dc.titleThe yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy-
dc.typeWorking Paperen
dc.identifier.ppn530643170en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cauewp:5585en

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