An Econometric Study of the Term Structure and the Real Economy

D. Gareth Thomas () and David S. Bywaters
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D. Gareth Thomas: University of Hertfordshire Business School

Chapter Chapter 7 in The Creators of Inside Money, 2021, pp 101-120 from Springer

Abstract: Abstract This completely new chapter investigates U.S.A. data on GDP growth, interest rates and expectations from Livingstone and Michigan surveys using econometrics to show evidence that the expectations theory could be the basis of term structure. The work goes on to explore how well differences in U.S.A. interest rates at different maturities explain up-coming GDP growth, and to show the importance of the empirical inversion of interest-bearing assets in determining subsequent states of the economy and the risk of recession over the course of the loanable funds cycle. In a sense, this work explores the monetary policy transmission mechanism in the U.S.A. It is all entirely new to the book.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-70366-0_7

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DOI: 10.1007/978-3-030-70366-0_7

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