Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread\the difference between long- and short-term interest rates\has information on future economic conditions. We examine whether this property is related to monetary policy or...

Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread\the difference between long- and short-term interest rates\ has the information on future economic conditions. We examine whether this property is related to the monetary...

Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread—the difference between long- and short-term interest rates—has information on future economic conditions. We examine whether this property is related to monetary policy...

This paper examines the relationship between the stability of the monetary policy reaction function and that of the predictive power of the yield spread for future economic activity using Japanese quarterly data between 1982:3 and 2005:2. We find that four structural changes occurred in the...

This paper empirically examines whether the interaction between foreign exchange markets and monetary markets can help to resolve the forward discount puzzle. Following the monetary models of Lucas [1990] and Fuerst [1992], we define as liquidity effects (the negative impact of monetary...

This paper presents two necessary conditions for the absence of rational bubbles on the assumption that the discount rate is stationary. One condition is that real stock prices and real dividends are cointegrated with the time-varying cointegrating vector. The other is that the order of...

This paper empirically examines whether the interaction between foreign exchange markets and monetary markets can help to resolve the forward discount puzzle. Following the monetary models of Lucas (1990) and Fuerst (1992), we define as liquidity effects (the negative impact of monetary...