Arbeitspapier

The yield curve as a predictor and emerging economies

This paper investigates the extent to which the slope of the yield curve in emerging economies predicts domestic inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to predict. It finds that the domestic yield curve in emerging economies has in-sample information content even after controlling for inflation and growth persistence, at both short and long forecast horizons, and that it often improves out-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the US and the euro area yield curves also have in- and out-of-sample information content for future inflation and growth in emerging economies. In particular, for emerging economies that have an exchange rate peg to the US dollar, the US yield curve is often found to be a better predictor than these economies’ own domestic curve and to causally explain their movements. This suggests that monetary policy changes and short-term interest rate pass-through are key drivers of international financial linkages through movements from the low end of the yield curve.

Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 691

Klassifikation
Wirtschaft
Financial Markets and the Macroeconomy
Thema
emerging economies
forecasting
international linkages
yield curve
Internationaler Finanzmarkt
Kapitaleinkommen
Wechselkurs
Wirtschaftsprognose
Schwellenländer

Ereignis
Geistige Schöpfung
(wer)
Mehl, Arnaud
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2006

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Mehl, Arnaud
  • European Central Bank (ECB)

Entstanden

  • 2006

Ähnliche Objekte (12)