Last edited by Shaktidal
Saturday, May 9, 2020 | History

2 edition of re-examination of the predictability of economic activity using the yield spread found in the catalog.

re-examination of the predictability of economic activity using the yield spread

James D. Hamilton

re-examination of the predictability of economic activity using the yield spread

by James D. Hamilton

  • 209 Want to read
  • 37 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Gross domestic product -- Forecasting.,
  • Interest rates -- Forecasting.,
  • Government securities.,
  • Business cycles -- Forecasting.,
  • Economic forecasting.

  • Edition Notes

    Other titlesPredictability of economic activity using the yield spread.
    StatementJames D. Hamilton, Dong Heon Kim
    SeriesNBER working paper series -- no. 7954, Working paper series (National Bureau of Economic Research) -- working paper no. 7954.
    ContributionsKim, Dong Heon, 1966-, National Bureau of Economic Research.
    The Physical Object
    Pagination26, [10] p. :
    Number of Pages26
    ID Numbers
    Open LibraryOL22408837M

    the ability of the yield spread to forecast real economic activity in 11 industrial countries. The first section of this article defines the yield spread and explains why the spread may be a useful predictor of real economic activity. The second section describes the data and criteria used to evaluate the predictive power of the yield spread. If the measurement of economic activity evolves, GDP can change. A 4% annual yield on a credit risk-free year government bond from the mythical country of Utopia. In , James Glass-man and Kevin Hassett published a book called "" At the time, the Dow Jones Industrial Average Index was just un

    A Re-Examination of the Predictability of Economic Activity Using the Yield Spread By James D. Hamilton and Dong Heon KimCited by: Yield spread and economic activity. Data and programs used in the paper, "A Re-Examination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit, and Banking, Forecasting the Fed funds target using the ACH model.

    "A Re-examination of the Predictability of Economic Activity Using the Yield Spread" Co-authored with James D. Hamilton, Journal of Money, Credit and Bank May , - . The objective of this research study was to establish the relationship between economic growth and yield spread (the difference between the three month Treasury bill and the ten year Treasury bond). There exists enormous literature not just on the.


Share this book
You might also like
How to sail

How to sail

I can write a book about countries

I can write a book about countries

Chesterfield: A Century of Change

Chesterfield: A Century of Change

creel of trout

creel of trout

The small worlds of corporate governance

The small worlds of corporate governance

Pottery-making cultures and Indian civilization

Pottery-making cultures and Indian civilization

Hugh Foster.

Hugh Foster.

The Sumerians: their history, culture, and character.

The Sumerians: their history, culture, and character.

Dogs in the News

Dogs in the News

examination of the question of anaesthesia

examination of the question of anaesthesia

Harry McShane collection, 1959-1988

Harry McShane collection, 1959-1988

The Venetian outlaw

The Venetian outlaw

Gold; a forward strategy

Gold; a forward strategy

How wars end

How wars end

Re-examination of the predictability of economic activity using the yield spread by James D. Hamilton Download PDF EPUB FB2

Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach Author links open overlay panel Ioannis A. Venetis Ivan Paya David A. Peel Show moreCited by: A Re-examination of the Predictability of Economic Activity Using the Yield Spread James D.

Hamilton, Dong Heon Kim. NBER Working Paper No. Issued in October NBER Program(s):Economic Fluctuations and Growth. This paper revisits the yield spread's usefulness for predicting future real GDP growth.

A Re-Examination of the Predictability of Economic Activity Using the Yield Spread NBER Working Paper No. w Number of pages: 36 Posted: 12 Oct Last Revised: 19 Oct Cited by: A re-examination of the predictability of the yield spread for real economic activity * James D. Hamilton and Dong Heon Kim Department of Economics, University of California, San Diego.

Thus, the yield spread will be flattened. The monetary contraction will eventually also reduce spending in interest sensitive sectors of the economy, causing economic growth to slow. Conversely, easy monetary policy would result in a high yield spread, which would signal faster future real economic growth.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper revisits the yield spread’s usefulness for predicting future real GDP growth.

We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium.

We find that both factors are relevant for predicting real GDP growth. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pagesMay.

James D. Hamilton & Dong Heon Kim, A re-examination of the predictability of economic activity using the yield spread. A Re-examination of the Predictability of Economic Activity Using the Yield Spread.

/ Hamilton, J; Kim, D H. In: Journal of Money, Credit and Banking, Vol. 34(2), May,p. Research output: Contribution to journal › ArticleCited by: Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach Ioannis A.

Venetis, Ivan Paya, David A. Peel Pages Hamilton, James Douglas & Kim, Dong Heon, "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium.

We find that both factors are relevant for predicting real GDP growth but. Venetis, I A and Paya, I and Peel, D A () Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach. International Review of Economics and Finance, 12 (2). ISSN Full text not available from this by:   Several studies have established the predictive power of the yield curve in terms of real economic activity.

In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy, Portugal and Spain) and non-EMU members (Norway, Sweden and the U.K.).

The data used range from Q1 to Q3. For each country, we extract the long run trend and the cyclical Cited by: 4. Request PDF | Re-examination of the predictability of economic activity using the yield spread: A nonlinear approach | This paper examines the feasibility of using the term structure of nominal.

Venetis, IA, Paya, I & Peel, DA' Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach ', International.

A Re-examination of the Predictability of Economic Activity Using the Yield Spread. James Hamilton and Dong Heon Kim (). University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego. Abstract: This paper revisits the yield spread's usefulness for predicting future real GDP growth.

We show that the contribution of the spread can be decomposed Cited by:   This paper examines whether the spread between long- and short-terminterest rates contains information about future economic activity in India. Using the yields on securities with maturities ranging from three months to ten years, we construct five different yield spreads at shorter end, longer end, and policy relevant area of the yield by: A Reexamination of the Predictability of Economic Activity Using the Yield Spread.

James Hamilton and Dong Heon Kim (). Journal of Money, Credit and Banking,vol. 34, issue 2, Abstract: This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes Cited by: Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): ste (external link) https Author: J Hamilton and D H.

Kim. A Re-Examination of the Predictability of Economic Activity Using the Yield Spread. By James D. Hamilton and Dong Heon Kim. The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications Cited by: the nominal term spread is due to variation in the ex ante real term spread, which reflects expected variation in the growth rate of real activity.

Another yield spread that has received some attention as an indicator of future real economic growth is the high-yield or “junk-bond” spread, which is .Get this from a library! A re-examination of the predictability of economic activity using the yield spread. [James D Hamilton; Tong-hŏn Kim; National Bureau of Economic Research.] -- Abstract: This paper revisits the yield spread's usefulness for predicting future real GDP growth.

We show that the contribution of the spread can be decomposed into the effect of expected future.