The Yield Spread as a Predictor of Economic Activity in Mexico: The Role of the Term Premium

被引：0

作者：

Ibarra, Raul ^{[1
]}

机构：

[1] Direcc Gen Invest Econ, Av 5 Mayo 18, Mexico City 06059, Mexico

来源：

ECONOMIA-JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION | 2023年 / 22卷 / 01期

关键词：

yield spread; economic activity; term premium; REAL; CURVE; RECESSIONS; OUTPUT; POWER; GROWTH; MODELS; RATES; US;

D O I：

10.31389/eco.415

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper analyzes whether there exists a relationship between the slope of the yield curve and future economic activity in Mexico for the period 2004-2019. In particular, we evaluate whether such a relationship depends on the term premium. For this purpose, we estimate a threshold model in which the relationship between the yield spread and economic activity, measured as either output growth or the probability of a contraction, depends on whether the term premium is above or below a certain threshold. The main results indicate that the slope of the yield curve seems to anticipate the behavior of economic activity only when the term premium is above a threshold. Our results also suggest that the slope of the yield curve has predictive power over the probability of facing a contraction in the future only when the term premium is above a threshold.

引用

页码：153 / 174

页数：22

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