The Use of Financial Spreads as Indicator Variables: Evidence for the United Kingdom and Germany

E Davis () and S. G. B. Henry
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S. G. B. Henry: International Monetary Fund

IMF Staff Papers, 1994, vol. 41, issue 3, 517-525

Abstract: There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregressive models of the U.K. and German economies. It is found that they do provide significant information, even after allowing for the effects of other influences upon macroeconomic activity.

JEL-codes: C51 (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (23)

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