This paper investigates the growth predictive properties of the expectation-related and term premium components of the US term spread. Results suggest that although the predictive power of two components has greater predictive power compared to the simple spread, it has a time-varying nature. The expectations-related term is positive and statistically significant up to the end of the 80s becoming insignificant afterwards. The term-premium estimates are positive and significant for a brief period in the 70s, turn insignificant after the 80s, except in short intervals at the beginning of the 90s and the 2000s, when they turn negative.

Agnello, L., Fazio, G. (2009). Expectations and the term premium as time varying leading indicators of US economic activity. THE EMPIRICAL ECONOMICS LETTERS, 8(11).

Expectations and the term premium as time varying leading indicators of US economic activity

AGNELLO, Luca;FAZIO, Giorgio
2009

Abstract

This paper investigates the growth predictive properties of the expectation-related and term premium components of the US term spread. Results suggest that although the predictive power of two components has greater predictive power compared to the simple spread, it has a time-varying nature. The expectations-related term is positive and statistically significant up to the end of the 80s becoming insignificant afterwards. The term-premium estimates are positive and significant for a brief period in the 70s, turn insignificant after the 80s, except in short intervals at the beginning of the 90s and the 2000s, when they turn negative.
Settore SECS-P/02 Politica Economica
http://www.eel.my100megs.com/
Agnello, L., Fazio, G. (2009). Expectations and the term premium as time varying leading indicators of US economic activity. THE EMPIRICAL ECONOMICS LETTERS, 8(11).
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10447/65620
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