Term spread and real economic activity in Korea: was the crisis predictable?

Ivan Paya () and Kent Gerard Matthews ()

Applied Economics Letters, 2004, vol. 11, issue 13, pages 797-801

Abstract: This paper has three objectives. First, it examines the link between the term spread (difference between long-term and short-term rate of interest) and GDP growth in the Korean economy for the period 1980-1999. Second, it tests for the independent information content of the term spread by including current and expected monetary policy indicators. Third, it explores the usefulness of the spread as a leading indicator of recessions and poses the question, was the crisis of 1997-1998 predictable?

Date: 2004
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