آزمون برای عدم تقارن در ارتباط بین میزان بازده و خروجی در کشورهای G-7

The difference in yields between long-term and short-term securities has been used both as a business cycle leading indicator and as an indicator of the direction of monetary policy. This paper tests for an asymmetry, in the form of a threshold effect, such that the impact of the yield spread on the conditional expectation of output growth is greater on one side of the threshold than on the other. We test using data from the G-7 countries, and find that, while the yield spread does generally show a significant link with output, only in the United States and Canada is there strong evidence of an asymmetry of this type. This evidence suggests a high value of the threshold in both the United States and Canada

There has been a good deal of recent interest in the link between yield spreads and aggregate economic activity, for several related reasons. First, the yield spread, specifically the difference in yields between long-term and short-term interest-bearing securities, has been found to be one of the most useful business cycle leading indicators; see, for example, Estrella and Hardouvelis (1991), Bernanke and Blinder (1992), Cozier and Tkacz (1994) and Lahiri and Wang (1996). Second, there is a popular argument (espoused by Laurent, 1988 and Laurent, 1989, for example) to the effect that the interest rate spread acts as an indicator of the direction of monetary policy. To the extent that this is true, the value of the spread in serving as a leading indicator of aggregate activity could be the result of its value in summarizing the current impact of monetary policy, which may affect aggregate output in the future. A third important point is that the yield spread (or slope of the yield curve) is a variable that can be observed immediately, and with virtually no measurement error or approximation error arising from the use of an index, which distinguishes it from many other indicators and is one possible explanation for its empirical usefulness as a business cycle indicator. The present paper examines this yield spread–output link, and in particular the possible existence of asymmetries in the relationship. The examination of asymmetries is suggested by, and in part derives its importance from, the frequently-reported finding of asymmetries in derived measures of current monetary policy or money supply changes, such as those of Cover (1992), Morgan (1993) and Karras (1996). At the same time, this paper uses data from the entire G-7 group of countries, rather than the United States alone.1 Asymmetry, if present, implies that the information content of the spread cannot be fully exploited in a linear model. Less formally, the existence of asymmetry here, as in other contexts where policy can affect events, would imply that we should anticipate greater proportionate impacts for some values than for others; policy actions and forecasts should be adapted accordingly. To test whether the yield spread has an asymmetric impact on the conditional expectation of output growth, we test for a threshold effect in the relation.2 We do so by treating as unknown the threshold beyond which the effect of the yield spread becomes greater (or smaller); evidence of a threshold effect is evidence in favour of asymmetry (or of some other non-linearity which can be approximated in this way). We use the test proposed by Hansen (1996), which allows testing for a threshold effect without a priori knowledge of the threshold value. Treating the threshold as unknown has the advantage that it allows us to consider the likelihood of asymmetry contingent upon a number of different threshold points, and also requires us to use a test which explicitly accounts for the fact that the choice of threshold is based on the likelihood. Earlier test procedures that implicitly or explicitly use threshold values that maximize the likelihood of finding asymmetry invalidate the nominal distributions used for inference; we will return to this point below. Moreover, by leading us to consider a set of possible thresholds, this method gives us a more general overview of the usefulness of the asymmetry hypothesis in describing the relation between yield spreads and output. In examining the relationship in this way, we find a distinction between North American and non-North-American data. This suggests the possibility that the transmission mechanisms in different developed countries may be substantially different, and therefore that it might be fruitful to attempt to understand the reasons for apparent differences in the form (as well as the strength) of this mechanism across countries. We also offer a few conjectures about these differences. The next section discusses in more detail the use of the yield spread, or slope of the yield curve, as a leading indicator and as an indicator of monetary policy. Section 3 presents the data and models. The threshold tests are reported in Section 4, while Section 5 concludes.

The use of some transformation of the spread between long-term and short-term interest rates is successful in predicting changes in output in all G-7 countries except Japan. Other evidence has also suggested that such information generally provides a good measure of the direction of monetary policy. However, using this indicator on G-7 data produces little evidence of asymmetric effects of the yield spread outside the United States and Canada. One legitimate interpretation of these results is that the non-rejections in most countries of the sample simply reflect lower test power, possibly because the spread is itself a weaker indicator of the impact of monetary policy than in the North American economies, leading to a reduced ability to detect relatively subtle features of the relationship. On this interpretation, threshold asymmetry or other non-linearity will eventually be reliably detectable as further sample information accumulates. Another possibility is that there are genuine differences in the monetary transmission mechanisms of the G-7 countries with respect to the importance of a non-linearity of this type. If this is so, it is interesting to ask why the United States and Canada appear to differ from other countries. It may be that any difference lies in some uniqueness of the United States, while the similarity of Canadian results follows from the importance of United States monetary policy in constraining Canadian monetary policy; the very strong trade and investment links between the two economies, and the sensitivity of Canada–United States capital flows to the interest rate differential, make this suggestion plausible. An explanation for the United States result might lie in the world-currency role of the US dollar,7 and in the relatively low degree of dependence on foreign trade of the US economy. In many countries, monetary policy operates through both interest rate and exchange rate channels; expansionary policy that lowers interest rates also tends to cause a depreciation of the domestic currency, thereby expanding domestic output. In the United States, because of both the relatively low importance of trade, and the fact that many commodities are priced in US dollars, the exchange rate channel might assume less importance. It is possible that outside the United States, exchange-rate effects can mitigate a diminished effectiveness of monetary policy through the interest-rate channel when spreads become very high (policy attempts to be very expansionary); we may conjecture that this exchange-rate mechanism is of little importance in the United States, so that the diminished effectiveness at high spreads does appear through a threshold effect. Another possible explanation may lie in time-varying risk premia in long rates.8 On this conjecture, large positive spreads would be associated with periods of high uncertainty, but in these cases the unusually large spreads would not be predictive of high output growth; international differences might be attributed to different degrees of liquidity, and therefore ability to reflect market risk in long bond prices. However, the fact that some similar threshold results appear in models in which the short-term rate alone is present (Case H of Table 2) provides some evidence against explanations based on long-term rates. If the spread is viewed simply as a leading indicator, the results suggest that non-linear multivariate leading indicator models may offer gains in predictive power relative to linear models. We conclude that the evidence for asymmetry of effect of yield spreads on predicted output is strong in the United States and Canada, and weak outside, and that further research is necessary in order to understand the reasons for such differences as do exist.