Advanced SearchSearch Tips
The Term Structure and Predicting the Domestic Recessions
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
The Term Structure and Predicting the Domestic Recessions
Kim, Tae-Ho; Song, Dae-Sub;
  PDF(new window)
Various methods have been suggested in developing the useful leading indicators to predict the actual realizations when time laps exist between policy plannings and future events. The recent economic crisis could have been relived if the information necessary to respond to the future evolutionary process is provided in advance. As the relations between the financial variables and the real economic activity become unstable because of the changes in the financial environment, this study attempts to estimate the capabilities of various internal and external term spreads in predicting the future business trend, followed by comparison and evaluation.
Recession probability;term spread;coincidence index;
 Cited by
실질 성장의 미래 변화 예측을 위한 정보변수,김태호;정재화;김민정;

응용통계연구, 2013. vol.26. 2, pp.253-265 crossref(new window)
Information Variables for the Predictability of Future Changes in Real Growth, Korean Journal of Applied Statistics, 2013, 26, 2, 253  crossref(new windwow)
김유성, 박영석, 이정진,(2004). 장단기 금리스프레드를 이용한 주식시장 마켓타이밍 전략의 유용성에 관한 실증분석, <증권학회지>, 33, 135-173

김준태 (2003). 금융시장 불확실성이 투자 및 소비에 미치는 영향: 금리스프레드 변동성을 중심으로, <금융연구>, 17, 25-54

지호준, 박상규 (2002). 금리 스프레드의 경기예측력 평가, <재무관리연구>, 19, 233-251

Estrella, A. and Hardouvelis, G. A. (1991). The term structure as a predictor of real economic activity, Journal of Finance, 46, 555-576 crossref(new window)

Estrella, A. and Mishkin, F. S. (1998). Predicting U.S. recessions: Financial variables as leading indicators, Review of Economics and Statistics, 80, 45-61 crossref(new window)

Fama, E. F. (1984). The information in the term structure, Journal of Financial Economics, 13, 509-528 crossref(new window)

Fama, E. F. (1986). Term premiums and default premiums in money markets, Journal of Financial Economics, 17, 175-196 crossref(new window)

Fama, E. F. (1990). Term structure forecasts of interest rates, inflation and real returns, Journal of Monetary Economics, 25, 59-76 crossref(new window)

Hardouvelis, G. A. (1988). The predictive power of the term structure during recent monetary regimes, Journal of Finance, 43, 339-356 crossref(new window)

Harvey, C. R. (1988). The real term structure and consumption growth, Journal of Financial Economics, 22, 305-333 crossref(new window)

Mankiw, N. G. and Miron, J. A. (1986). The changing behavior of the term structure of interest rates, Quarterly Journal of Economics, 101, 211-228 crossref(new window)

Mishkin, F. S. (1988). The information in the term structure: Some further results, Journal of Applied Econometrics, 3, 307-314 crossref(new window)

Mishkin, F. S. (1990). What does the term structure tell us about future inflation?, Journal of Monetary Economics, 25, 77-95 crossref(new window)

Ratti, R. A. and Seo, J. (2003). Multiple equilibria and currency crisis: Evidence for Korea, Journal of International Money and Finance, 22, 681-696 crossref(new window)

Smith, J. and Naylor, R. (2001). Determinants of degree performance in UK universities: A statistical analysis of the 1993 student cohort, Oxford Bulletin of Economics and Statistics, 63, 29-60 crossref(new window)