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摘要翻译：
几项研究已经建立了收益率曲线在实际经济活动方面的预测能力。在本文中，我们使用了各种E.U.的数据。国家：欧洲货币联盟（德国、法国、意大利）和非欧洲货币联盟成员（瑞典和英国）。所使用的数据范围从1991年：第一季度到2009年：第一季度。对于每个国家，我们提取了实际经济活动的长期趋势和周期性成分，同时使用相应的长、短期期限银行间利率来计算该国的特定收益率利差。我们还补充了用非货币政策变量：国家失业率和股票指数检验的模型。在努力预测实际产出时所采用的方法是标准分布的逆累积分布函数的概率模型，使用了几种形式预测和拟合优度评估检验。结果表明，用非货币变量扩大的收益率曲线对实际经济活动具有显著的预测能力，但结果在被考察的单个经济体之间存在质的差异，从而产生了非琐碎的政策含义。
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英文标题：
《GDP Trend Deviations and the Yield Spread: the Case of Five E.U.
Countries》
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作者：
Periklis Gogas and Ioannis Pragidis
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q1. For each country, we extract the long run trend and the cyclical component of real economic activity, while the corresponding interbank interest rates of long and short term maturities are used for the calculation of the country specific yield spreads. We also augment the models tested with non monetary policy variables: the countries' unemployment rates and stock indices. The methodology employed in the effort to forecast real output, is a probit model of the inverse cumulative distribution function of the standard distribution, using several formal forecasting and goodness of fit evaluation tests. The results show that the yield curve augmented with the non-monetary variables has significant forecasting power in terms of real economic activity but the results differ qualitatively between the individual economies examined raising non-trivial policy implications.
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PDF链接：
https://arxiv.org/pdf/1005.1326
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