The Use of Financial Spreads As Indicator Variables: Evidence for the U.K. and Germany

Author/Editor:

E. P. Davis ; S. G. B. Henry

Publication Date:

March 1, 1994

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 has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregressive models of the UK and German economies. It is found that they do have significant information, even after allowing for the effects of other influences upon macro-economic activity.

Series:

Working Paper No. 1994/031

Subject:

Econometric analysis Financial institutions Financial services Foreign exchange Inflation Prices Real exchange rates Sovereign bonds Vector error correction models Yield curve

Notes:

Also published in Staff Papers, Vol. 41, No. 3, September 1994.

English

Publication Date:

March 1, 1994

ISBN/ISSN:

9781451844986/1018-5941

Stock No:

WPIEA0311994

Pages:

28

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