TY - JOUR
T1 - Expectations and the term premium as time varying leading indicators of US economic activity
AU - Fazio, Giorgio
AU - Agnello, Luca
PY - 2009
Y1 - 2009
N2 - This paper investigates the growth predictive properties of theexpectation-related and term premium components of the US term spread. Resultssuggest that although the predictive power of two components has greater predictivepower compared to the simple spread, it has a time-varying nature. Theexpectations-related term is positive and statistically significant up to the end of the80s becoming insignificant afterwards. The term-premium estimates are positive andsignificant for a brief period in the 70s, turn insignificant after the 80s, except inshort intervals at the beginning of the 90s and the 2000s, when they turn negative.
AB - This paper investigates the growth predictive properties of theexpectation-related and term premium components of the US term spread. Resultssuggest that although the predictive power of two components has greater predictivepower compared to the simple spread, it has a time-varying nature. Theexpectations-related term is positive and statistically significant up to the end of the80s becoming insignificant afterwards. The term-premium estimates are positive andsignificant for a brief period in the 70s, turn insignificant after the 80s, except inshort intervals at the beginning of the 90s and the 2000s, when they turn negative.
KW - Leading Indicators
KW - Rolling Estimation
KW - Structural Stability
KW - yield spread Decomposition
KW - Leading Indicators
KW - Rolling Estimation
KW - Structural Stability
KW - yield spread Decomposition
UR - http://hdl.handle.net/10447/65620
UR - http://www.eel.my100megs.com/
M3 - Article
SN - 1681-8997
VL - 8
JO - THE EMPIRICAL ECONOMICS LETTERS
JF - THE EMPIRICAL ECONOMICS LETTERS
ER -