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Discussion Papers In Economics And Business. 2013, 13-09-Rev., p. 1-21

The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

text

2013-07

http://www2.econ.osaka-u.ac.jp/library/global/dp/1309R.pdf

* Revised： [13-09, 2013]

Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread—the difference between long- and short-term interest rates— has the information on future economic conditions. We examine whether this property is related to the monetary policy or not using the Japanese monthly data with consideration for structural changes. Results of structural change tests show that the term spread has the predictive ability for the future economic activity from 1982:4 to 1997:8. Decomposing the term spread into three parts; one is explained by past monetary policy shocks, another is explained by expected future call rates and the other is the remaining part, we find that all three parts are significantly related to the future economic growth rate. Hence, we find that the monetary policy play an important role for the LIPTS.

24987

The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

2013-07

Discussion Papers In Economics And Business

13-09-Rev.

1

21

https://hdl.handle.net/11094/24987

http://www2.econ.osaka-u.ac.jp/library/global/dp/1309R.pdf