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

Nakaota, Hiroshi; Fukuta, Yuichi

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

Nakaota, Hiroshi; Fukuta, Yuichi

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

Number of Access:448（2025-09-04 08:31 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/11094/24987

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Title	The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan
Creator	NRID 1000050454989 1000050454989 CreatorName Nakaota, Hiroshi
Creator	NRID 1000000243147 1000000243147 researchmap permalink read0013892 read0013892 Scopus Author ID 7005046983 7005046983 CreatorName Fukuta, Yuichi
Subject	leading indicator property of the term spread
	LIPTS
	term spread
	future economic activity
	monetary policy
Description	* Revised： [13-09, 2013]
Abstract	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.
Publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
Source Title	Discussion Papers In Economics And Business
Volume (Issue)	13-09-Rev.
Page	1-21
Date of Issued	2013-07
Language	English
Handle URL	https://hdl.handle.net/11094/24987
NCID	AA1160366X
Relation.references	URI http://www2.econ.osaka-u.ac.jp/library/global/dp/1309R.pdf
Access Rights	metadata only access
Category	ディスカッション／ワーキング・ペーパー DP/WP
Category	Discussion Papers In Economics And Business
Date.Updated	2013-07

Resource Type	technical report
Local Type	DP/WP
DCMI Type	Text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business. 2013, 13-09-Rev., p. 1-21
DC.title	The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan
DC.creator	Nakaota, Hiroshi
DC.creator	Fukuta, Yuichi
DC.publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
DC.language' scheme='DCTERMS.RFC1766	English
DC.type' scheme='DCTERMS.DCMIType	Text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2013-07
DC.relation' scheme='DCTERMS.URI	http://www2.econ.osaka-u.ac.jp/library/global/dp/1309R.pdf
DC.subject	leading indicator property of the term spread
	LIPTS
	term spread
	future economic activity
	monetary policy
DC.description	* Revised： [13-09, 2013]
DCTERMS.abstract	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.
DC.format	24987
citation_title	The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan
citation_author	Nakaota, Hiroshi
citation_author	Fukuta, Yuichi
citation_publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
citation_language	English
citation_date	2013-07
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	13-09-Rev.
citation_firstpage	1
citation_lastpage	21
citation_public_url	https://hdl.handle.net/11094/24987
citation_abstract_html_url	http://www2.econ.osaka-u.ac.jp/library/global/dp/1309R.pdf

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

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