Χρονική διάρθρωση των επιτοκίων : η προβλεπτική ικανότητα του εύρους επιτοκίων για την περίπτωση της Αυστραλίας
Παπαδάμου, Στέφανος Θ.
This study examines whether the term spread is a good predictor of future economic activity in the case of Australia. Evidence shows that the term spread is a good predictor of Economic activity. However when our results are compared with previous results in some European countries and USA it seems to be not so significant while the majority of the research studies focus mostly on them due to sufficient data and the wide financial markets that characterizes them. Only few studies examine exclusively the predictive power of the term spread for output, inflation and unemployment in case of Australia and this is one of them which results are grounded on basic econometric models formed by Estrella and Hardouvelis (1991) and expanded by Hamilton and Kim (2002), while forecasts are based on the methodology of Bonser-Neal and Morley (1997). The sample spans the period from 1970-2004 for industrial production and 1992-2005 for unemployment. The data were collected on monthly basis for the modeling procedure forming two basic models, one for industrial production and another one for unemployment as dependent variables. These basic models were also used for the predicting procedure by choosing as the best for each of the two cases that with the highest adjusted R-sq k months ahead from the examinant period for in sample forecasts and that with the lowest Root Mean Square Error for out of sample forecasts k months ahead from the examinant period. The results both for industrial production and unemployment rate show that the term spread can predict the evolution of these indices of economic activity up to 12 months ahead.
Πανεπιστήμιο Θεσσαλίας. Σχολή Ανθρωπιστικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών.