Expectations and the term premium as time varying leading indicators of US economic activity

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Abstract

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.
Lingua originaleEnglish
Numero di pagine8
RivistaTHE EMPIRICAL ECONOMICS LETTERS
Volume8
Stato di pubblicazionePublished - 2009

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