δείτε την πρωτότυπη σελίδα τεκμηρίου στον ιστότοπο του αποθετηρίου του φορέα για περισσότερες πληροφορίες και για να δείτε όλα τα ψηφιακά αρχεία του τεκμηρίου*
Χρονική διάρθρωση των επιτοκίων : η προβλεπτική ικανότητα του εύρους επιτοκίων για την περίπτωση της Αυστραλίας
(EL)
Δέτσης, Παναγιώτης
(EL)
Πανεπιστήμιο Θεσσαλίας - Βιβλιοθήκη και Κέντρο Πληροφόρησης
(EL)
This study examines whether the term spread is a good predictor of future
economic activity in the case of Australia. Evidence shows that the term spread is a
good predictor of Economic activity. However when our results are compared with
previous results in some European countries and USA it seems to be not so
significant while the majority of the research studies focus mostly on them due to
sufficient data and the wide financial markets that characterizes them. Only few
studies examine exclusively the predictive power of the term spread for output,
inflation and unemployment in case of Australia and this is one of them which results
are grounded on basic econometric models formed by Estrella and Hardouvelis
(1991) and expanded by Hamilton and Kim (2002), while forecasts are based on the
methodology of Bonser-Neal and Morley (1997).
The sample spans the period from 1970-2004 for industrial production and
1992-2005 for unemployment. The data were collected on monthly basis for the
modeling procedure forming two basic models, one for industrial production and
another one for unemployment as dependent variables. These basic models were
also used for the predicting procedure by choosing as the best for each of the two
cases that with the highest adjusted R-sq k months ahead from the examinant period
for in sample forecasts and that with the lowest Root Mean Square Error for out of
sample forecasts k months ahead from the examinant period. The results both for
industrial production and unemployment rate show that the term spread can predict
the evolution of these indices of economic activity up to 12 months ahead.
(EN)
*Η εύρυθμη και αδιάλειπτη λειτουργία των διαδικτυακών διευθύνσεων των συλλογών (ψηφιακό αρχείο, καρτέλα τεκμηρίου στο αποθετήριο) είναι αποκλειστική ευθύνη των αντίστοιχων Φορέων περιεχομένου.
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Πανεπιστήμιο Θεσσαλίας
