Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy
May 1, 2002
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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.
Subject: Financial institutions, Financial services, Government securities, Labor, Real interest rates, Short term interest rates, Yield curve
Keywords: financial market participant, Government securities, government securities market, interest rate, leading indicators, market expectation, market player, nominal interest rate, production function, Real interest rates, rupee yield curve, secondary market yield, Short term interest rates, WP, Yield curve, yield spread
Pages:
20
Volume:
2002
DOI:
---
Issue:
091
Series:
Working Paper No. 2002/091
Stock No:
WPIEA0912002
ISBN:
9781451851526
ISSN:
1018-5941
