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

Material type: 文書・図像類

Author: Nakaota, Hiroshiほか

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

Publication date: 2013-07

Material Format: Paper

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Note (General)：: * Revised： [13-09, 2013]Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread—the...

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Paper

Material Type: 文書・図像類
Title: The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan
Author/Editor: Nakaota, Hiroshi
Fukuta, Yuichi
Author Heading: Nakaota, Hiroshi
https://nrid.nii.ac.jp/nrid/1000050454989
Fukuta, Yuichi
https://nrid.nii.ac.jp/nrid/1000000243147
Publication, Distribution, etc.: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
Publication Date: 2013-07
Publication Date (W3CDTF): 2013-07
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 13-09-Rev.
Volume: 13-09-Rev.
Pages: 1-21
Text Language Code: eng
Subject Heading: leading indicator property of the term spread
LIPTS
term spread
future economic activity
monetary policy
Target Audience: 一般
Note (General): * 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.
Periodical Title (NCID): AA1160366X
https://ci.nii.ac.jp/ncid/AA1160366X
References (URI): URI
http://www2.econ.osaka-u.ac.jp/library/global/dp/1309R.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華