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International Advances in Economic Research - This paper examines the link between changes in the sentiment tone with respect to the European Central Bank’s (ECB) announcements and stock... 相似文献
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Dionisios Chionis Periklis Gogas Ioannis Pragidis 《International Advances in Economic Research》2010,16(1):1-10
Several studies have established the predictive power of the yield curve for the U.S. and various European countries. In this
paper we use data from the European Union (EU15), from 1994:Q1 to 2008:Q3. We use the European Central Bank’s euro area yield
spreads to predict European real GDP deviations from the long-run trend. We also augment the models tested with non monetary
policy variables: the unemployment and a composite European stock price index. The methodology employed 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 composite stock index has significant forecasting
power in terms of the EU15 real output. 相似文献
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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, Portugal and Spain) and non-EMU members (Norway,
Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q3. For each country, we extract the long run trend and the
cyclical component of real economic activity, while the corresponding ECB euro area government benchmark bond interest rates
of long and short term maturities are used for the calculation of the yield spreads. We also augment the models tested with
non monetary policy variables: the respective 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 criteria. 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. 相似文献
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