| Titre | Prévision du PIB par la courbe des taux : une constatation empirique en quête de théorie | |
|---|---|---|
| Auteur | Didier Janci, Eric Dubois | |
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Revue | Economie et prévision |
| Numéro | no 112, 1994/1 | |
| Rubrique / Thématique | Variables financières et prévisions |
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| Page | 69-85 | |
| Résumé anglais |
A GDP Forecast Using the Rate Curve: An Empirical Observation in Search of a Theory,
by Eric Dubois and Didier Janci.
For many countries, the deviation between short-term interest rates and long-term interest rates would appear to contain information concerning future economic growth. Several models provide a theoretical justification for such a relation, but none of them is totally satisfactory or empirically sound. These models are based either on the intertemporal smoothing of consumption or on the formation of expectations regarding agents' monetary policy, i.e. on the effects of monetary policy on economic activity, possibly via the banks' credit supply.
In spite of the theoretical problems involved with finding a completely satisfactory justification for this, the relation is highly sound from an empirical point of view. French data thus show that the deviation between the three-month money rate and the ten-year bond rate definitely contains, one year in advance, original information on future economic growth in relation to a set of normally pertinent economic variables.
Moreover, this information can be rounded out by the addition of some of these variables to construct an advanced and extremely high-quality activity indicator. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1994_num_112_1_5653 |
