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The Yield Curve As A Forecasting Tool
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ISBN: 9783838349305

This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread‟s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although i&tacute;s best predictive power is seen at two quarters. Books Books ~~ Business & Economics~~ Economics ~~ General Yield-Curve-As-A-Forecasting-Tool~~Melvin-Khomo AV Akademikerverlag GmbH & Co. KG. This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spreads predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although its best predictive power is seen at two quarters.

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The Yield Curve As A Forecasting Tool
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
The Yield Curve As A Forecasting Tool - neues Buch

ISBN: 9783838349305

ID: 9783838349305

This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread‟s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread‟s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although i&tacute;s best predictive power is seen at two quarters. Books, Business & Economics~~Economics~~General, Yield-Curve-As-A-Forecasting-Tool~~Melvin-Khomo, , , , , , , , , , AV Akademikerverlag GmbH & Co. KG.

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The Yield Curve As A Forecasting Tool - Khomo, Melvin
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The Yield Curve As A Forecasting Tool - Taschenbuch

ISBN: 383834930X

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Does The Yield Spread Predict Recessions In South Africa? - Buch, gebundene Ausgabe, 112 S., Beilagen: Paperback, Erschienen: 2010 LAP Lambert Acad. Publ. This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spreads predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although its best predictive power is seen at two quarters.

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The Yield Curve As A Forecasting Tool - Khomo, Melvin
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Khomo, Melvin:
The Yield Curve As A Forecasting Tool - Taschenbuch

2010, ISBN: 383834930X

Gebundene Ausgabe, ID: 7196365

Does The Yield Spread Predict Recessions In South Africa? - Buch, gebundene Ausgabe, 112 S., Beilagen: Paperback, Erschienen: 2010 LAP Lambert Acad. Publ.

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The Yield Curve As A Forecasting Tool
Autor:

Khomo, Melvin

Titel:

The Yield Curve As A Forecasting Tool

ISBN-Nummer:

9783838349305

This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spreads predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although its best predictive power is seen at two quarters.

Detailangaben zum Buch - The Yield Curve As A Forecasting Tool


EAN (ISBN-13): 9783838349305
ISBN (ISBN-10): 383834930X
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2010
Herausgeber: AV Akademikerverlag GmbH & Co. KG.

Buch in der Datenbank seit 01.02.2007 05:53:50
Buch zuletzt gefunden am 03.08.2015 17:07:28
ISBN/EAN: 9783838349305

ISBN - alternative Schreibweisen:
3-8383-4930-X, 978-3-8383-4930-5

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