Publications
Detailed Information
Has the Predictability of the Yield Spread Changed?
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Dong Heon | - |
dc.contributor.author | Park, Euihwan | - |
dc.date.accessioned | 2018-12-06T06:03:40Z | - |
dc.date.available | 2018-12-06T06:03:40Z | - |
dc.date.issued | 2018-10 | - |
dc.identifier.citation | Seoul Journal of Economics, Vol.31 No.4, pp. 449-463 | - |
dc.identifier.issn | 1225-0279 | - |
dc.identifier.uri | https://hdl.handle.net/10371/144938 | - |
dc.description.abstract | This paper examines the stability of the predictive power of the yield spread for future GDP growth. We find that the ability of the spread to predict future GDP growth has weakened since 1984:Q1. Given the decomposition of the yield spread into the expectation component and the term premium component, we investigate the change in the predictability of both components and find that the term premium component appears to have lost the predictive power significantly while the predictive power of the expectation component has remained. We conjecture that since the 1984:Q1, the cyclical movement of the term premium seems to have been reduced due to the significant reduction in the volatility of US macroeconomy. | - |
dc.language.iso | en | - |
dc.publisher | Institute of Economic Research, Seoul National University | - |
dc.subject | Yield spread | - |
dc.subject | Break | - |
dc.subject | Predictability | - |
dc.subject | Expectations effect | - |
dc.subject | Term premium effect | - |
dc.subject | Great Moderation | - |
dc.title | Has the Predictability of the Yield Spread Changed? | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 김동헌 | - |
dc.contributor.AlternativeAuthor | 박의환 | - |
dc.citation.journaltitle | Seoul Journal of Economics | - |
dc.citation.endpage | 463 | - |
dc.citation.number | 4 | - |
dc.citation.pages | 449-463 | - |
dc.citation.startpage | 449 | - |
dc.citation.volume | 31 | - |
- Appears in Collections:
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.