Re: Burning questions

[Doug Henwood <dhenwood@xxxxxxxxx>]

I got the empirical connection. I was looking for explanations.
Intertemporal asset pricing models leave me unmoved.

Doug

Doug Henwood [dhenwood@xxxxxxxxx]
Left Business Observer
212-874-4020 (voice)
212-874-3137 (fax)


On Tue, 5 Jul 1994 NOHARAPA@xxxxxxxxxxxxxxxx wrote:

>
> Doug on term structure of interest rates predictions of economic activity:
>
> A good reference on this is Arturo Estrella & Gikas Hardouvelis, "The Term
> Structure as a Predictor of real Economic Activity", The Journal of Finance,
> Vol XLVI, No 2, June 1991 (pp. 555-576). The yield curve seems to be an
> excellent predictor of economic activity from 1959-1982, although it wasn't
> very good for the mid 1960s (the "missed recession"?). They studied the
> difference between the 10-year Treasury Bond rate and the 3-month treasury Bill
> (slope of yield curve): it seems to predate economic activity by 4 quarters!
>
> Phil O'Hara
> econ, curtin univ, gpo box u1987 perth 6001 australia
> email: noharapa@xxxxxxxxxxxxxxxx
>