The Australian term structure as a predictor of real economics activity

Bell, Matthew. (1998). The Australian term structure as a predictor of real economics activity Honours Thesis, Dept. of Economics, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE14058.pdf Full text application/pdf 5.34MB 0
Author Bell, Matthew.
Thesis Title The Australian term structure as a predictor of real economics activity
School, Centre or Institute Dept. of Economics
Institution The University of Queensland
Publication date 1998
Thesis type Honours Thesis
Total pages 137
Language eng
Subjects 14 Economics
Formatted abstract
      This thesis examines, both theoretically and empirically, the relationship between the Australian term structure of interest rates and future changes in real economic activity. Of the few Australian papers that have examined this relationship, all have found that the slope of the term structure was a good predictor of output growth. This thesis uses both, quantitative and qualitative dependent variable methodologies to examine a wide range of measures of the term structure and real activity. In addition, the term structure was compared to other widely used financial variables that are thought to possess leading indicator properties.

      It was found that there did exist a strong positive relationship between the term structure and future real economic activity. This relationship was found to be strongest for forecasting horizons exceeding one year, but not exceeding two years. Of the measures of real activity examined, tile relationship with investment expenditure was found to be the strongest, followed by gross domestic product and aggregate consumption. The term structure generally outperformed all other financial variables examined.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
Citation counts: Google Scholar Search Google Scholar
Created: Tue, 09 Nov 2010, 16:40:48 EST by Muhammad Noman Ali on behalf of The University of Queensland Library