The Use of Financial Spreads as Indicators of Real Activity

摘要: A number of recent papers in the US have suggested that financial spreads are useful indicators real activity. Stock and Watson (1989) is perhaps most cited, but work with similar general findings reported by Friedman Kuttner (1991), Bernanke (1990) among others. These report tests for information (by which read statistical significance) a multi-variate dynamic model output. The models proposed output methods estimating these differ between different papers, described more fully below. But what has been variety approaches each undertaken within VAR framework, persuasive evidence appeared may an informational role. Of course there questions about interpretation to be put on empirical findings; both they economic behaviour and, relatedly, policy implications have. Answers depend part themselves, as discussed exercises cited above focused spread yields commercial paper treasury bills. Other figuring included long corporate bond-government bond yield differential (Bernanke, 1983; Davis, 1992); curve (Estrella Hardouvelis, 1989; Laurent, 1988, Blinder, 1992; Mishkin, Browne Manasse, 1989) UK only, reverse gaps (bond less equity yield) (see Davis Henry, 1992a, Davies Shah, 1992).