Skip to main content

Yield spreads as predictors of industrial production: expectations on short rates or term premia?

Buy Article:

$53.17 plus tax (Refund Policy)

Abstract:

This paper reconsiders information in the US T-bill term structure for predicting movements in real monthly industrial production. It is shown that although T-bill spreads contain little or no predictive content, increases in term premia estimated from a GARCH-M model of the term structure do. Since these estimated premia are linear functions of the conditional variance of excess returns, the implication is that increases in interest rate variability are associated with reductions in industrial production. This evidence is robust to the inclusion of the spread between the 10-year Tbond yield and one-month-T-bill yields. The T-bill term structure therefore contains information which is independent of the long-end of the term structure.

Document Type: Research Article

DOI: https://doi.org/10.1080/000368400321995

Publication date: 2000-06-20

More about this publication?
  • Access Key
  • Free ContentFree content
  • Partial Free ContentPartial Free content
  • New ContentNew content
  • Open Access ContentOpen access content
  • Partial Open Access ContentPartial Open access content
  • Subscribed ContentSubscribed content
  • Partial Subscribed ContentPartial Subscribed content
  • Free Trial ContentFree trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more