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• Main Authors: Jack Hung, 洪士傑
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/40467362256885360623

碩士 === 國立中央大學 === 產業經濟研究所 === 94 === From 1988 to the present, a large empirical literature has used term structure yield spread that help predict future real GDP growth. This available empirical evidence tell us that high spreads today are associated with higher GDP growth in the future and low spreads today are associated with lower GDP growth in the future. This predicted model is used for predicting the GDP growth following one to two years especially good. However, the more recent evidence tells us that yield spreads have become less useful as predictors in recent years. In fact, one major predictive failures of the spread occurred on the occasion of the 1990－1991 recession. So in this paper, we use relevant macroeconomic data of USA to confirm and extend the conclusion of earlier studies. We discuss the yield spread between the 10-year Treasury bond rate and the 3-month Treasury bill rate contains information about future real GDP beyond that contained in various measures of monetary policy or inflation rates. Then we demonstrate that the ability of the yield spread to predict future output fluctuations is contingent on the change of monetary authority’s policy tool. Finally, we channel into the idea of rational expectation to consider different number of quantity of information in different case and find a simple but useful way to raise the predictive power of this model.