The Predictive power of the yield curve: evidence from Spain
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The Predictive power of the yield curve: evidence from SpainAutoria
Tutor/Supervisor; Universitat.Departament
Pavan, Marina; Universitat Jaume I. Departament d'EconomiaData de publicació
2023-06-05Editor
Universitat Jaume IResum
The slope of the yield curve has been mentioned as a leading economic indicator of the
economy’s path in the future. Thus, an inversion of the curve has been interpreted as a sign
of a future recession. Over the ... [+]
The slope of the yield curve has been mentioned as a leading economic indicator of the
economy’s path in the future. Thus, an inversion of the curve has been interpreted as a sign
of a future recession. Over the last decades, empirical research has been made with the aim
of finding a significant relationship between the yield curve and future economic activity. In
this paper, we examine the predictive power of the yield curve in Spain. We consider a simple
linear regression model which predicts the change in the industrial production using the yield
spread as an explanatory variable. To study the stability of recession forecasts over time, we
divided the full dataset in two sub-samples. Moreover, as the literature states that binary
models are more stable at forecasting future economic activity, we consider a probit model to
predict recessions using the yield curve. Results obtained in both models are not statistically
significant at any conventional significance level. [-]
Paraules clau / Matèries
Descripció
Treball Final de Grau en Economia. Codi: EC1049. Curs acadèmic: 2022/2023
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info:eu-repo/semantics/bachelorThesisDrets d'accés
info:eu-repo/semantics/openAccess
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- Grau en Economia [289]