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| Author: | Galbraith, J. Tkacz, G. |
| Title: | Testing for asymmetry in the link between the yield spread and output in the G-7 countries |
| Journal: | Journal of International Money and Finance
2000 : OCT, VOL. 19:5, p. 657-672 |
| Index terms: | FINANCE MONEY SECURITIES AND EXCHANGE COMMISSION |
| Language: | eng |
| Abstract: | The difference in yields between long-term and short-term securities has been used both as a business cycle leading indicator and as an indicator of the direction of monetary policy. This paper tests for an asymmetry, in the form of a threshold effect, such that the impact of the yield spread on the conditional expectation of output growth is greater on one side of the threshold than on the other. The authors test using data from G-7 countries. |
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