The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis

Detalhes bibliográficos
Autor(a) principal: Cruz, João Pedro de Brito
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/18581
Resumo: This paper revisits the role of the yield spread to forecast recessions in the Euro Area. We show that the contribution of the spread can be decomposed into the effect of future expected changes in short term rates and the effect of the term premium. This decomposition is achieved with the use of a no arbitrage affine term structure model incorporating two latent factors that explain level and slope movements in the yield curve. We find that the expectations hypothesis component accounts for most of the predictability of the spread with part of this predictability reflecting the effects of the monetary policy stance. The results suggest, however, that the yield spread predictive content is driven by other factors independent of monetary policy.
id RCAP_48751e17b67abcf21228b47f5f5d16dd
oai_identifier_str oai:run.unl.pt:10362/18581
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling The yield curve as a predictor of recessions in the Euro Area: A multicountry analysisYield spreadExpectations componentTerm premiumMonetary policyDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper revisits the role of the yield spread to forecast recessions in the Euro Area. We show that the contribution of the spread can be decomposed into the effect of future expected changes in short term rates and the effect of the term premium. This decomposition is achieved with the use of a no arbitrage affine term structure model incorporating two latent factors that explain level and slope movements in the yield curve. We find that the expectations hypothesis component accounts for most of the predictability of the spread with part of this predictability reflecting the effects of the monetary policy stance. The results suggest, however, that the yield spread predictive content is driven by other factors independent of monetary policy.Pereira, João PedroRUNCruz, João Pedro de Brito2016-08-03T08:54:30Z2016-062016-062016-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfhttp://hdl.handle.net/10362/18581TID:201526301enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:57:53Zoai:run.unl.pt:10362/18581Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:24:51.332868Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
title The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
spellingShingle The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
Cruz, João Pedro de Brito
Yield spread
Expectations component
Term premium
Monetary policy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
title_full The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
title_fullStr The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
title_full_unstemmed The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
title_sort The yield curve as a predictor of recessions in the Euro Area: A multicountry analysis
author Cruz, João Pedro de Brito
author_facet Cruz, João Pedro de Brito
author_role author
dc.contributor.none.fl_str_mv Pereira, João Pedro
RUN
dc.contributor.author.fl_str_mv Cruz, João Pedro de Brito
dc.subject.por.fl_str_mv Yield spread
Expectations component
Term premium
Monetary policy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Yield spread
Expectations component
Term premium
Monetary policy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper revisits the role of the yield spread to forecast recessions in the Euro Area. We show that the contribution of the spread can be decomposed into the effect of future expected changes in short term rates and the effect of the term premium. This decomposition is achieved with the use of a no arbitrage affine term structure model incorporating two latent factors that explain level and slope movements in the yield curve. We find that the expectations hypothesis component accounts for most of the predictability of the spread with part of this predictability reflecting the effects of the monetary policy stance. The results suggest, however, that the yield spread predictive content is driven by other factors independent of monetary policy.
publishDate 2016
dc.date.none.fl_str_mv 2016-08-03T08:54:30Z
2016-06
2016-06
2016-06-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/18581
TID:201526301
url http://hdl.handle.net/10362/18581
identifier_str_mv TID:201526301
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137881716948992

Registros relacionados