Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy
IMF Working Papers, May 1, 2002
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- Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy
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Bibliographic details
- Authors: Rajan Goyal, K. Kanagasabapathy
- Published: May 1, 2002
- Series: IMF Working Papers
Summary
- There is growing evidence that the yield spread could serve as a leading indicator of real economic activity.
- This paper tests 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.
Core findings
- Yield spread movements in the government securities market are related to movements in the index of industrial production.
- The empirical results indicate that yield spread could be considered as a leading indicator of industrial activity in India.
Subjects and keywords
- 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