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  •   University of Thessaly Institutional Repository
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  •   University of Thessaly Institutional Repository
  • Επιστημονικές Δημοσιεύσεις Μελών ΠΘ (ΕΔΠΘ)
  • Δημοσιεύσεις σε περιοδικά, συνέδρια, κεφάλαια βιβλίων κλπ.
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Yield spreads and real economic activity in East European transition economies

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Author
Papadamou, S.
Date
2009
DOI
10.1080/13504850601032123
Keyword
CONDITIONAL HETEROSKEDASTICITY
FINANCIAL ACCELERATOR
TERM STRUCTURE
UNITED-STATES
PREDICTORS
RATES
Economics
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Abstract
Recent research in developed countries provides evidence for the significant role of the yield spread on real economic activity. Using k-months industrial production growth rate model, this article attempts to ascertain whether similar results are obtained for countries from East Europe (Czech Republic, Poland, Hungary and Slovakia). The results suggest that the interest rate spread does indeed have some predictive power over the 24-months across the countries. These results remain qualitative robust to the inclusion of additional variables and to the change of unemployment rate as a different measure of economic activity. Cyclical movements of volatility appear to be unable to account for the usefulness of the spread for forecasting industrial production growth. Finally, it is found that the term spread is a better indicator of future real growth in countries with low and stable inflation (Czech Republic) and not in countries characterized by high and volatile inflation (Hungary).
URI
http://hdl.handle.net/11615/31646
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  • Δημοσιεύσεις σε περιοδικά, συνέδρια, κεφάλαια βιβλίων κλπ. [9728]
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Η δικτυακή πύλη της Ευρωπαϊκής Ένωσης
Ψηφιακή Ελλάδα
ΕΣΠΑ 2007-2013