English, Article edition: INTEREST RATES, RATE SPREADS, AND ECONOMIC ACTIVITY JOHN S. LAPP

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Physical Description
  • article
Language
  • English

Edition details

Title
  • INTEREST RATES, RATE SPREADS, AND ECONOMIC ACTIVITY
Author
  • JOHN S. LAPP
Physical Description
  • article
Notes
  • Interest rates and the spreads between interest rates are widely regarded as useful indicators of the future level of economic activity. This paper shows that when these series are divided into (i) an ordinary time series process and (ii) the effects of extraordinary disturbances, only the extraordinary disturbances predict economic activity. These disturbances are associated with periods of monetary policy intervention. Most of the predictive power is in contractionary disturbances that have persistent effects over time. The results imply that the predictive power of interest rates comes primarily from periods of contractionary monetary policy and is not due to ordinary movements in interest rates. Copyright 1997 Western Economic Association International.
  • RePEc:bla:coecpo:v:15:y:1997:i:3:p:42-50
Language
  • English
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