Yield Gap Momentum as a Leading Indicator to Predict Turning Points in Industrial Production Growth

P.R. Shearer

Working Papers from University of Hertfordshire - Business Schoool

Abstract: The use of leading indicators to predict turning points in key ouput economic indicators is well-known. Recent work has shown that momentum indicators are an improvement on standard indicators. This paper analyses the likely performance of the momentum of the gap between long- and short-term interest rates as a leading indicator for output growth. The calculations are performed for the UK and Germany. In the UK's case the momentum is found to be a useful addition to a portfolio of leading indicators. Sensitivity analysis is also carried out to examine the stability of the leading indicator.

Keywords: MEASURING INSTRUMENTS; INTEREST RATE; ECONOMIC GROWTH (search for similar items in EconPapers)
JEL-codes: E43 O10 O40 (search for similar items in EconPapers)
Pages: 10 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:hertbu:1998:21

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