オガワ　タカユキ   OGAWA Takayuki
  小川　貴之
   所属   大阪経済大学  経済学部 経済学科
   職種   教授
言語種別 英語
発行・発表の年月 2023/02/03
形態種別 その他
標題 The Persistence of Consumption and the Leading Indicator Property of the Term Spread
執筆形態 共著
掲載誌名 SSRN Working Paper
掲載区分国外
出版社・発行元 SSRN (Social Science Research Network)
総ページ数 28
著者・共著者 Hiroshi Nakaota and Takayuki Ogawa
概要 This is a significantly revised version of Osaka University of Economics Working Paper No. 2008-2 titled “Durability in Consumption and the Predictive Power of the Yield Curve.”

Numerous empirical studies find that the spread between long- and short-term interest rates widens (narrows) prior to economic expansions (contractions), a phenomenon called the leading indicator property of the term spread (LIPTS). However, the theoretical mechanism underlying LIPTS remains obscure. Using a dynamic asset pricing model, this study shows that persistence in consumption fosters inertia in short-term interest rates and explains LITPS qualitatively and quantitatively.
DOI http://dx.doi.org/10.2139/ssrn.4346584