Search results for " yield spread"
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Domestic vs. International correlations of interest rate maturities
2010
The association between long and short interest rates is traditionally envisaged from a purely domestic perspective, where it is believed an empirical regularity. Hence, the weakening of this relationship in the first half of the 2000s has represented a conundrum, calling for a reassessment of the term structure and the conduct of monetary policy. Some commentators have called for investigations into the international dimension of this puzzle. Hence, in this paper we employ recent advances in panel data econometrics to investigate the co-movement of interest rate maturities both at the domestic and international levels for a sample of industrial countries. Specifically, we use the Ng (2006)…
Expectations and the term premium as time varying leading indicators of US economic activity
2009
This paper investigates the growth predictive properties of the expectation-related and term premium components of the US term spread. Results suggest that although the predictive power of two components has greater predictive power compared to the simple spread, it has a time-varying nature. The expectations-related term is positive and statistically significant up to the end of the 80s becoming insignificant afterwards. The term-premium estimates are positive and significant for a brief period in the 70s, turn insignificant after the 80s, except in short intervals at the beginning of the 90s and the 2000s, when they turn negative.