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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2021.11
- 수록면
- 521 - 546 (26page)
- DOI
- 10.22904/sje.2021.34.4.003
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초록· 키워드
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This study analyzes whether the trend obtained by decomposing the expected portion of the interest rate term spread into risk premium shock and monetary policy shock is useful for longterm forecasts of the United States’ recession. After the Beverage Nelson decomposition of the interest rate term spread from the co-integrated VAR model composed of short-term and long-term interest rates, the monetary policy and independent risk premium shocks’ trends are estimated and used for the prediction. Using linear and probit prediction models, we test whether these trends are effective for the predictive power enhancement of output gap and recession. Based on the proposed process, United States data were analyzed through the probit model and FM-OLS estimation. We found that the trends of monetary policy shock and risk premium shock clearly have an edge for long-term forecast compared with conventional term spread forecasts.
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참고문헌 (16)
참고문헌 신청
Beveridge, S / 1981 / A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle / Journal of Monetary Economics 7(2):151~174
De Brouwer, G / 1998 / Estimating Output Gaps
Estrella, A / 1996 / The Yield Curve as a Predictor of US Recessions / Current Issues In Economics And Finance 2(7)
Estrella, A / 1998 / Predicting US Recessions: Financial Variables as Leading Indicators / Review of Economics and Statistics 80(1):45~61
Estrella, A / 1991 / The Term Structure as a Predictor of Real Economic Activity / The Jounal of Finance 46(2):555~576
De Brouwer, G / 1998 / Estimating Output Gaps
Estrella, A / 1996 / The Yield Curve as a Predictor of US Recessions / Current Issues In Economics And Finance 2(7)
Estrella, A / 1998 / Predicting US Recessions: Financial Variables as Leading Indicators / Review of Economics and Statistics 80(1):45~61
Estrella, A / 1991 / The Term Structure as a Predictor of Real Economic Activity / The Jounal of Finance 46(2):555~576
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