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Yield Curve As a Forecasting Tool

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ISBN-10: 383834930X

ISBN-13: 9783838349305

Edition: N/A

Authors: Melvin Khomo

List price: $60.00
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Description:

This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997)…    
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Book details

List price: $60.00
Publisher: Lap Lambert Academic Publishing GmbH & Company KG
Binding: Paperback
Pages: 112
Size: 6.00" wide x 9.00" long x 0.27" tall
Weight: 0.396