The Predictive Power of the Yield Curve : A Theoretical Assessment

Although the empirical evidence about the leading indicator property of the term spread (LIPTS) is powerful, this property lacks a rigorous theoretical foundation. This paper investigates whether dynamic equilibrium asset pricing models are able to provide a theoretical underpinning for the LIPTS. We study an endowment and a production economy. The endowment economy is unable to account for the LIPTS. On the other hand, a model with endogenous production provides a reasonable theoretical justification for the LIPTS

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Year of publication:	2003
Authors:	DeLint, Christel Rendu ; Stolin, David
Publisher:	[S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Theorie \| Theory \| Allgemeines Gleichgewicht \| General equilibrium \| Wirtschaftsindikator \| Economic indicator \| Prognoseverfahren \| Forecasting model
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Monetary Economics, Vol. 50, pp. 1603-1622, October 2003 Volltext nicht verfügbar
Classification:	C68 - Computable General Equilibrium Models ; E32 - Business Fluctuations; Cycles ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014074061