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

IF 1.2 Q3 ECONOMICS
Raul Ibarra
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Abstract

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. JEL Classification Codes: C53, E32, E37, E43
作为墨西哥经济活动预测指标的收益率差:期限溢价的作用
本文分析了2004-2019年期间墨西哥收益率曲线斜率与未来经济活动之间是否存在关系。特别是,我们评估这种关系是否取决于期限溢价。为此,我们估计了一个阈值模型,其中收益率差与经济活动之间的关系,以产出增长或收缩的可能性来衡量,取决于期限溢价是高于还是低于某个阈值。主要结果表明,收益率曲线的斜率似乎只有在期限溢价高于阈值时才能预测经济活动的行为。我们的结果还表明,只有当期限溢价高于阈值时,收益率曲线的斜率才对未来面临收缩的概率具有预测能力。JEL分类代码:C53, E32, E37, E43
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
0.40
自引率
0.00%
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审稿时长
24 weeks
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