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The Yield Curve As A Forecasting Tool: Does The Yield Spread Predict Recessions In South Africa? - Couverture souple

Khomo, Melvin

 
9783838349305: The Yield Curve As A Forecasting Tool: Does The Yield Spread Predict Recessions In South Africa?
Couverture souple
ISBN 10 : 383834930X ISBN 13 : 9783838349305
Editeur : LAP Lambert Academic Publishing, 2010

Synopsis

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 it´s best predictive power is seen at two quarters.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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 it´s best predictive power is seen at two quarters.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP Lambert Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
383834930X
ISBN 13 
9783838349305
Reliure
Broché
Nombre de pages
112
Coordonnées du fabricant
non disponible
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