Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy

Author/Editor:

Rajan Goyal ; K. Kanagasabapathy

Publication Date:

May 1, 2002

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

There is growing evidence that the yield spread could serve as a leading indicator of real economic activity. This paper is an attempt to test this hypothesis for the Indian economy by relating movements in the yield spread in the government securities market to movements in the index of industrial production. The results show that yield spread could, inter alia, be considered as a leading indicator of industrial activity in India.

Series:

Working Paper No. 2002/091

Subject:

Financial institutions Financial services Government securities Labor Real interest rates Short term interest rates Yield curve

English

Publication Date:

May 1, 2002

ISBN/ISSN:

9781451851526/1018-5941

Stock No:

WPIEA0912002

Pages:

20

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