Some international evidence on the causal impact of the yield curve

Michael D. Bordo and Joseph Haubrich

Finance Research Letters, 2022, vol. 45, issue C

Abstract: We use a new technique developed by Shi, Phillips, and Hurn to examine the causal impact of the yield curve on industrial production in the UK, Germany and Japan. In line with previous work, we find that the impact of the yield curve varies over time and across countries. Periods of Granger causality are few for the UK and Germany, but more frequent in Japan.

Keywords: Yield curve (search for similar items in EconPapers)
JEL-codes: E32 G01 N10 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001975

DOI: 10.1016/j.frl.2021.102116

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