臺灣博碩士論文加值系統

Essay I. The yield spread as a predictor of economic activity in G7

Abstract:
It was documented in the literature that yield spread of U.S. and several European could predict economic growth. This paper extended previous paper to investigate the ability of term structure of domestic countries and United States to predict the real activities in G7. We found that the domestic term structure has more influence in some countries and the term structure of United States has more influence in other countries. The results also show that term spread contains the economic information beyond monetary policy in many countries. Then, following Hamilton and Kim (2002), we decompose the effect of term spread into an expectation effect and a term premium effect and examine their effects on real activities. The result shows that although the results are not consistent across different countries, both effects are statistically significant in many countries. We also found the term premium effect contributes more in predicting than the expectation effect in most countries. The expectation effect only continues for a short term, but the term premium contains the economic information for a long time in many countries.
Essay II. The predictability of economic activity using yield spread in five Asian countries

Abstract:
Researchers of term structure have often suggested that yield spread contains information about the real activities. In this paper, we examined the output-the domestic spread and the output –the spread of U.S. relationship across five Asian emerging countries including Korea, Malaysia, Singapore, Taiwan and Thailand. Then, we further decomposed the spread into two effects: the pure expectation effect and the term premium and examine their influences. From the results, we found that the spread of United States are more important than the domestic spread in the forecast for the future growth of economy and the spread of U.S. contain the information of the economic growth independent to the other economic indicator and money policy in most Asian emerging countries. The results also show that the domestic expectation effect and term premium effect contained little information about the economic activities and the expectation effect of United States doesn’t have information for the economic activities as well. Conversely, the term premium effect of United States has consistently predictive power in most Asian emerging countries. For the spread of United States, the term premium effects are important than the expectation effect in the forecast of economic growth.

Essay I…………………………………………………………………………….…1
The yield spread as a predictor of economic activity in G7……………………..…..1
Abstract………………………………………………………………………..1
1. Introduction……….………………………………………………………...2
2. Theoretical bases and empirical findings……………………..………….....3
2.1. Preliminary literature reviews……..………………………………...3
2.2. Theoretical basis……………………….……………………………5
2.2.1. The theory of Harvey (1989)….…………………………......5
2.2.2. The effect of U.S. spread………………..……………............6
2.2.3. The theoretical explanations of Hamilton and Kim (2002).…6
3. Data and methodology…………………………………………………………….7
3.1. The term spread as a predictor of real economic activity……………………….8
3.2. The decomposition of the yield spread…………………………………...……..9
4. Empirical results…….……………………………………………….........10
4.1. The domestic term spread as a predictor of real economic activity.....................................................................................................10
4.2. The U.S. term spread as a predictor of real economic activity…….11
4.3. The predictive power of the pure expectation hypothesis or term premium hypothesis…..…………………………………………...12
4.3.1. The predictive power of the domestic spread…..………......12
4.3.2. The predictive power of the spread of United States……….12
5. The discussion the empirical results………………………….……….......13
5.1. The predictive power of term spread……………………….……...13
5.2. The decomposition of the term structure into the two effects….….14
5.3. The reasons about the difference of the results across different countries………………………………………………………….15
6. Conclusion……...……………………………………………………………......16
Appendix: Classification of exchange rate regimes…………………………….......17
Reference…………...………………………………………………………………18
Essay II…………………………..………………………………………………….52
The predictability of economic activity using yield spread in five Asian countries..52
Abstract…………………………………………………………………………......52
1. Introduction…………………………………………………..……………53
2. Theoretical Basis and empirical finding…………………………………..54
2.1. Preliminary literature reviews……………………………..…….....54
2.2. Theoretical bases……………………………………………….....56
2.2.1. The theory of Harvey (1989)...………………….………….56
2.2.2. The effect of U.S. spread…………………………………...57
2.2.3. The theoretical explanations of Hamilton and Kim (2002)...58
3. Data and methodology…………………………………………………………...59
3.1. The term spread as a predictor of real economic activity……….......................59
3.2. The term spread as a predictor of real economic activity……..….60
4. Empirical results………………………………………………………….62
4.1. The domestic term spread as a predictor of real economic activity..62
4.2. The term spread of United States as a predictor of real economic activity………………..……………………………...……………62
4.3. The predictive power of the pure expectation hypothesis or term premium hypothesis…………………………………………….63
4.3.1. The predictive power of the domestic spread……………...63
4.3.2. The predictive power of the U.S. spread……………..…......63
5. The discussion of the empirical results……………………..……………..64
5.1. The predictive power of the term spread…………………….…….64
5.2. The decomposition of the term structure into the two effects…….64
5.3. The reasons about the difference of the results across different countries…………………………………..…………………….....65
6. Conclusion…………………...………………………………………………......67
Appendix: Classification of exchange rate regimes………………………………...68
Reference……………………………………………………………...……………69

References

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Cozier, B. and Tkacz, G. (1994). The term structure and real activity in Canada. Working Paper 94-3, Bank of Canada, Ottawa.

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Estrella, A. (1998). Monetary policy and the predictive power of the term structure of interest rates. Federal Reserve Bank of New York.

Fama, E.F. (1990). Term-structure forecasts of interest rates, inflation and real returns, Journal of Monetary Economics, 25(1) (1990), 59–76.

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References

Bernard, H. and Gerlach, S. (1998). Does the term structure predict recessions? The international evidence. Centre for Economic Policy Research discussion paper no. 1892, London.

Cozier, B. and Tkacz, G. (1994). The term structure and real activity in Canada. Working Paper, 94-3, Bank of Canada, Ottawa.

Davis, E. P. and Fagan, G. (1997). Are financial spreads useful indicators of future inflation and output growth in E.U. countries? Journal of Applied Econometrics, 12, 701–714.

Dueker, M. J. (1997). Strengthening the case for the yield curve as a predictor of U.S. recessions. Federal Reserve Bank of St. Louis Review, 79, 41-51.

Estrella, A. and Hardouvelis, G.A. (1991). The term structure as a predictor of real economic activity, Journal of Finance, 46(2), 555–76.

Estrella, A. and Mishkin, F. (1995a). Predicting U.S. recessions: financial variables as leading indicators, NBER Working Paper, 5379.

Estrella, A. and Mishkin, F. (1995b). The term structure of interest rates and its role in monetary policy for the European Central Bank, NBER Working Paper, 5279.
.
Estrella, A. and Mishkin, F. (1997). The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. European Economic Review, 41, 1375–1401.

Estrella, A. and Mishkin, F. (1998). Predicting U.S. recessions: financial variables as leading indicators. Review of Economics and Statistics, 80, 45–61.

Estrella, A. (1998). Monetary policy and the predictive power of the term structure of interest rates. Federal Reserve Bank of New York.

Fama, E. F. (1984). The information in the term structure. Journal of Financial Economics, 13(4) 509-528.

Fama, E.F. (1990). Term-structure forecasts of interest rates, inflation and real returns, Journal of Monetary Economics, 25(1) (1990), 59–76.

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Frankel.J., Schmukler.S. and Serven.L. (2000) Global Transmission of interest rates: Monetary independence and currency regime. Policy Research Working Paper, 2423

Harvey, C.R. (1988). The real term structure and consumption growth. Journal of Financial Economics, 22, 305–333.

Harvey, C.R. (1989). Forecast of economic growth from the bond and stock markets. Financial Analysts Journal, 45, 38-45.

Hardouvelis, G. A. (1988). The predictive power of the term structure during recent monetary regime. Journal of Finance, 43(2), 339-356.

Hu, Z. (1994) The yield curve and real activity. IMF Staff Papers, 40(4), 781–804.

Hamilton, J.D., and Kim, D.H. (2002). A reexamination of the predictability of economic activity using the yield spread. Journal of Money, Credit, and Banking, 34, 340–360.

Jorion, P. and Mishkin, F. (1991). A multi-country comparison of term-structure forecasts at long horizons, Journal of Financial Economics, 29(1), 59–80.

Kim, K.A. and Limpaphayom, P. (1997). The effect of economic regimes on the relation between term structure and real activity in Japan. Journal of Economic and Business, 49, 379–392.

Laurent, R.D. (1988). An interest-based indicator of monetary policy. Federal Reserve Bank of Chicago, Economic Perspectives, 12 (1), 3–14.

Laurent, R.D. (1989). Testing the ‘spread’. Federal Reserve Bank of Chicago, Economic Perspectives, 13 (4), 22–34.

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Nakaota, H. (2005). The term structure of interest rates in Japan: the predictability of economic activity. Japan and the World Economy,17, 311–326.

Newey, W. K. and West, K. D. (1987). A simple positive semidefinite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.

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