Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy

May 1, 2002

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Rajan Goyal, and K. Kanagasabapathy Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy, (USA: International Monetary Fund, 2002) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

There is growing evidence that the yield spread could serve as a leading indicator of real economic activity. This paper is an attempt to test this hypothesis for the Indian economy by relating movements in the yield spread in the government securities market to movements in the index of industrial production. The results show that yield spread could, inter alia, be considered as a leading indicator of industrial activity in India.

Subject: Financial institutions, Financial services, Government securities, Labor, Real interest rates, Short term interest rates, Yield curve

Keywords: Financial market participant, Government securities, Government securities market, Interest rate, Leading indicators, Market expectation, Market player, Nominal interest rate, Production function, Real interest rates, Rupee yield curve, Secondary market yield, Short term interest rates, WP, Yield curve, Yield spread

Publication Details

Pages:

20
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2002/091
Stock No:

WPIEA0912002
ISBN:

9781451851526
ISSN:

1018-5941

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