The Use of Financial Spreads As Indicator Variables: Evidence for the U.K. and Germany

E Davis () and S. Henry

No 1994/031, IMF Working Papers from International Monetary Fund

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 UK and German economies. It is found that they do have significant information, even after allowing for the effects of other influences upon macro-economic activity.

Keywords: WP; spread; bond yield; financial asset; yield; yield curve differential; government bond bond yield; financial spread; transmission mechanism; dividend yield; GDP deflator; spreads model; Yield curve; Real exchange rates; Inflation; Sovereign bonds; Vector error correction models (search for similar items in EconPapers)
Pages: 28
Date: 1994-03-01
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Citations: View citations in EconPapers (14)

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