دانلود مقاله ISI انگلیسی شماره 48004
عنوان فارسی مقاله

اسپرد نرخ بهره بعنوان پیش بینی کننده تورم در آلمان و چرخه کسب و کار

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48004 2000 20 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
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عنوان انگلیسی
Interest rate spreads as predictors of German inflation and business cycles
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Journal of Forecasting, Volume 16, Issue 1, January–March 2000, Pages 39–58

کلمات کلیدی
پیش بینی نقطه عطف - مدل مارکف سوئیچ - سیاست بوندس - ساختار مدت - آلمان
پیش نمایش مقاله
پیش نمایش مقاله اسپرد نرخ بهره بعنوان پیش بینی کننده تورم در آلمان و چرخه کسب و کار

چکیده انگلیسی

We have studied the comparative performance of a number of interest rate spreads as predictors of the German inflation and business cycle in the post-Bretton Woods era. The two-regime Markov-switch model that we used as a nonlinear filter allows the dynamic behavior of the economy to vary between expansions and recessions in terms of duration and volatility. We found that the bank term structure, the public term structure, and the spread based on the call rate predicted all recessions with a comfortable lead, although they lagged some of the recoveries by a few months. The bank–public spread generates a series of false signals, and missed completely the upturn in the mid-1970s, but detected the last two recoveries with an average lead of nearly 12 months. The source of the predictive power of interest rate spreads lies in the information they contain not only about monetary policy, but also about an assortment of general macroeconomic shocks. The filter probabilities from three of the interest rate differentials also foreshadowed the long swings in the German inflation rate remarkably well, with a lead time of 2–4 years without any false signals.

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