RDP 9204: The Term Structure of Interest Rates, Real Activity and Inflation Appendix 3: Forecasting Ability of Selected Yield Spreads

Philip Lowe

May 1992

TABLE A1: PREDICTIVE ABILITY OF THE MELD CURVE (1982:3–1991:2)
Inline Equation
SPREAD
j 10 year – o'night 10 year – 90 day 2 year – 180 day Nobs
α β   α β   α β  
3 3.22
(0.80)		 0.47
(0.27)		 0.06
 		 3.47
(1.09)		 0.25
(0.36)		 −0.01
 		 3.51
(1.39)		 0.30
(0.68)		 −0.02
 		 35
 
6 3.36
(0.62)		 0.50
(0.16)		 0.18
 		 3.67
(0.86)		 0.30
(0.25)		 0.02
 		 3.83
(1.14)		 0.46
(0.52)		 0.00
 		 34
 
9 3.50
(0.50)		 0.49
(0.13)		 0.25
 		 3.94
(0.63)		 0.42
(0.17)		 0.10
 		 4.23
(0.84)		 0.73
(0.35)		 0.06
 		 33
 
12 3.61
(0.40)		 0.50
(0.12)		 0.39
 		 4.15
(0.41)		 0.47
(0.14)		 0.21
 		 4.52
(0.54)		 0.84
(0.25)		 0.15
 		 32
 
15 3.66
(0.34)		 0.45
(0.12)		 0.48
 		 4.23
(0.28)		 0.48
(0.13)		 0.34
 		 4.63
(0.34)		 0.88
(0.24)		 0.26
 		 31
 
18 3.70
(0.32)		 0.42
(0.11)		 0.56
 		 4.27
(0.22)		 0.48
(0.14)		 0.48
 		 4.76
(0.23)		 0.95
(0.29)		 0.46
 		 30
 
21 3.63
(0.36)		 0.36
(0.12)		 0.48
 		 4.14
(0.24)		 0.41
(0.15)		 0.41
 		 4.57
(0.25)		 0.82
(0.30)		 0.39
 		 29
 
24 3.63
(0.34)		 0.28
(0.12)		 0.35
 		 4.03
(0.26)		 0.33
(0.14)		 0.30
 		 4.40
(0.26)		 0.67
(0.28)		 0.33
 		 28
 
36 3.69
(0.22)		 0.08
(0.06)		 0.03
 		 3.78
(0.34)		 0.04
(0.08)		 −0.03
 		 3.87
(0.38)		 0.14
(0.13)		 −0.01
 		 24
 
NOTES.
1. The forecast horizon (j) is in terms of months.
2. Standard errors which are robust to serial correlation and conditional heteroskedasticity are reported in parenthesis () below coefficient estimates.
3. γt is real seasonally adjusted GDP at time t.