Melvin Khomo

The Yield Curve As A Forecasting Tool

Does The Yield Spread Predict Recessions In South Africa?

• Broschiertes Buch

Produktbeschreibung

This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although it s best predictive power is seen at two quarters.

Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 112
• Erscheinungstermin: 2. März 2010
• Englisch
• Abmessung: 220mm x 150mm x 7mm
• Gewicht: 160g
• ISBN-13: 9783838349305
• ISBN-10: 383834930X
• Artikelnr.: 29385760

Autorenporträt

is an asset-liability manager for the South African Post Office Group of companies.He received his Master of Commerce degree in Financial Markets from Rhodes University in South Africa, 2004.He also holds an Honours degree in Economics from Rhodes University, South Africa. Melvin has worked for the Central Bank of Swaziland and the Bank of Namibia.