Monetary policy and the information content of the yield spread
By: Michael Feroli.
Series: Finance and economics discussion series ;; 2004-44; Finance and economics discussion series (Online) ;; 2004-44.
Publisher: Federal Reserve Board
Published: 2004
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper demonstrates that the ability of the yield spread to predict output fluctuations is contingent on the monetary authority's reaction function.  In particular, expectations of monetary policy actions are crucial for the spread to predict output conditional on the short-rate.  Furthermore, numerical experiments suggest that the post-1979 decrease in the yield spread's predictive power is due to a shift in the monetary policy reaction function at that time"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 8/31/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.