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The Yield Curve As A Forecasting Tool
- neues BuchISBN: 9783838349305
This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate… Mehr…
This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread‟s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although i&tacute;s best predictive power is seen at two quarters. Books Books ~~ Business & Economics~~ Economics ~~ General Yield-Curve-As-A-Forecasting-Tool~~Melvin-Khomo AV Akademikerverlag GmbH & Co. KG. This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spreads predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although its best predictive power is seen at two quarters.<
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BEISPIEL
The Yield Curve As A Forecasting Tool
- neues BuchISBN: 9783838349305
This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate… Mehr…
This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread‟s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread‟s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although i&tacute;s best predictive power is seen at two quarters. Books, Business & Economics~~Economics~~General, Yield-Curve-As-A-Forecasting-Tool~~Melvin-Khomo, , , , , , , , , , AV Akademikerverlag GmbH & Co. KG.<
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Khomo, Melvin:The Yield Curve As A Forecasting Tool - Does The Yield Spread Predict Recessions In South Africa?
- Taschenbuch 2010, ISBN: 9783838349305
[ED: Taschenbuch / Paperback], [PU: LAP Lambert Academic Publishing], This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive… Mehr…
[ED: Taschenbuch / Paperback], [PU: LAP Lambert Academic Publishing], This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although it s best predictive power is seen at two quarters., DE, [SC: 0.00], Neuware, gewerbliches Angebot, 112, [GW: 160g], Selbstabholung und Barzahlung, PayPal, offene Rechnung, Banküberweisung, Internationaler Versand<
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Khomo, Melvin:The Yield Curve As A Forecasting Tool Does The Yield Spread Predict Recessions In South Africa?
- neues Buch 2010, ISBN: 383834930X
Kartoniert / Broschiert, mit Schutzumschlag neu, [PU:LAP Lambert Acad. Publ.]
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BEISPIEL
Khomo, Melvin:The Yield Curve As A Forecasting Tool
- Taschenbuch 2010, ISBN: 383834930X
Gebundene Ausgabe
Does The Yield Spread Predict Recessions In South Africa? - Buch, gebundene Ausgabe, 112 S., Beilagen: Paperback, Erschienen: 2010 LAP Lambert Acad. Publ.
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