Athens University of Economics and Business Department of Economics
نویسندگان
چکیده
This paper provides clear cut evidence that the slope and curvature factors of the yield curve contain more information about future changes in economic activity than the term spread alone, often used in practice as an indicator of future economic conditions. These two factors constitute independent sources of information about future economic activity, which are o¤set to each other in term spread regressions. The slope factor has predictive power on future economic activity over longer horizons ahead, compared to the curvature factor. The latter improves the forecasting ability of the term spread over shorter or medium horizons. These results hold for a number of world leading economies. JEL classi cation : E23, E43, E44, F30, F44, G12 Keywords: Yield curve, dynamic Nelson Siegel term structure model, yield curve factors, term spread, economic activity, Kalman lter. Athens University of Economics & Business, Athens 104 34, Greece / e-mails: [email protected], [email protected]
منابع مشابه
On Bayesian model and variable selection using MCMC
PETROS DELLAPORTAS∗, JONATHAN J. FORSTER† and IOANNIS NTZOUFRAS∗∗ ∗Department of Statistics, Athens University of Economics and Business, Patission 76, 10434 Athens, Greece [email protected] †Department of Mathematics, University of Southampton, Highfield, Southampton SO17 1BJ, UK [email protected] ∗∗Department of Statistics, Athens University of Economics and Business, Patission 76, 10434 Ath...
متن کاملTCP/IP Performance over Wireless Networks
George Xylomenos, Department of Informatics, Athens University of Economics and Business, Greece, [email protected] George C. Polyzos, Department of Informatics, Athens University of Economics and Business, Greece, [email protected] Petri Mähönen, Center for Wireless Communications, University of Oulu, Finland, [email protected] Mika Saaranen, Center for Wireless Communications, University of O...
متن کاملSymbolic computation of the Duggal transform
Following the results of cite{Med}, regarding the Aluthge transform of polynomial matrices, the symbolic computation of the Duggal transform of a polynomial matrix $A$ is developed in this paper, using the polar decomposition and the singular value decomposition of $A$. Thereat, the polynomial singular value decomposition method is utilized, which is an iterative algorithm with numerical charac...
متن کاملForum on Public Policy A School Based Intervention for Combating Food Insecurity and Promoting Healthy Nutrition in a Developed Country Undergoing Economic Crisis: A Qualitative Study
1 Institute of Preventive Medicine Environmental and Occupational Health, Athens, Greece 2 Department of Statistics, Athens University of Economics and Business, Greece 3 Department of Nutrition and Dietetics, Harokopio University, Athens, Greece 4 Department of Hygiene, Epidemiology and Medical Statistics, Medical School, National and Kapodistrian University of Athens, Greece 5 Department of P...
متن کاملGraduating the age-specific fertility pattern using Support Vector Machines
A topic of interest in demographic literature is the graduation of the age-specific fertility pattern. A classical graduation technique extensively used by demographers is to fit parametric models that accurately reproduce it. Standard non parametric statistical methodology, as kernels and splines, might alternately be used for this graduation purpose. Support Vector Machines (SVM) is an innova...
متن کامل