Arbeitspapier

Testing for short and long-run causality: The case of the yield spread and economic growth

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991) is used to construct a simple test for causality in the frequency domain. This methodology is applied to investigate the predictive content of the yield spread for future output growth. For U.S. data we observe good leading indicator properties at frequencies around one year and typical business cycle frequencies. Using German data we found a (rather weak) predictability at low frequencies only.

Sprache
Englisch

Erschienen in
Series: SFB 373 Discussion Paper ; No. 2001,96

Klassifikation
Wirtschaft
Thema
Causality
Time series
Frequency domain
Prediction

Ereignis
Geistige Schöpfung
(wer)
Breitung, Jörg
Candelon, Bertrand
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(wo)
Berlin
(wann)
2001

Handle
URN
urn:nbn:de:kobv:11-10051133
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

  • Breitung, Jörg
  • Candelon, Bertrand
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Entstanden

  • 2001

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