Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/62679
Autoren: 
Breitung, Jörg
Candelon, Bertrand
Datum: 
2001
Reihe/Nr.: 
SFB 373 Discussion Paper 2001,96
Zusammenfassung: 
To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991) is used to construct a simple test for causality in the frequency domain. This methodology is applied to investigate the predictive content of the yield spread for future output growth. For U.S. data we observe good leading indicator properties at frequencies around one year and typical business cycle frequencies. Using German data we found a (rather weak) predictability at low frequencies only.
Schlagwörter: 
Causality
Time series
Frequency domain
Prediction
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
Nennungen in sozialen Medien:

Datei(en):
Datei
Größe
266.8 kB





Publikationen in EconStor sind urheberrechtlich geschützt.