La pente des taux contient-elle de l'information sur l'activité économique future ?

Franck Sedillot ()

Economie & Prévision, 2001, vol. 147, issue 1, 141-157

Abstract: In this paper we investigate the link between term structure and growth in France, Germany and the United States by means of two approaches. The first, widely used, consists in regressing the growth rate ofGDPfor yield spread in various ranges. Through the second, less frequently employed for European data, we examine the usefulness of the yield spread for predicting a recession, in this case using a probit model. For both approaches we analyse the in-sample forecasting ability and the out-of-sample accuracy of the outcomes. The stability of the various relations, based on time-varying root mean square errors, is also considered.

Date: 2001
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Related works:
Journal Article: La pente des taux contient-elle de l’information sur l’activité économique future ? (2001)
Working Paper: La pente des taux contient-elle de l'information sur l'activite economique future? (1999)
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