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2 LG

3 i < >,, Probit, (10 T-Bond - 3 T-Bill ) ~ ~ %, 19817~ % ~ ~ %, (5-1 )

4 ii 19922~ ~ %, 67% 19881~ % 20007~12, %,, % % 4 9 8% (3 - ) (BBB- - AA- ), 9 2 (3 - ) % 2 3 (BBB- - AA- ) 9 2%

5 iii 2000, % 2 (3 - ), (BBB- - AA- ) 2 (3 - )5 14% (BBB - - AA- )2 5% 5 47%, 3, 10,

6 < > < > I 1 II III IV 28 < >31

7 < > <II -1>, 6 <III -1> Probit 14 <III -2> Probit 21 < III -1> < III -2> < III -3> < III -4> < III -5> < III -6> < III -7> < III -8> < III -9> < III -10> 26 < III -11> 27

8 1 I,,,, 98,

9 II 1, (Yield Curve) 1 (Term Structure) (Expectation Hypothesis),,, 2 0 (Liquidity Premium Hypothesis), 1,, X Y 2, 1 6% 1 1 6% 2 6% 1 1 7% 2 65% 2

10 (Term Premium) (flat), (inverted),,,,, Bernard and Gerlach(1996) 3, 3 Bernard, Henri and Stefan Gerlach, Does the Term Structure Predict Recessions? The International Evidence, Working Paper, BIS, September

11 ,,, HarveyIntertemporal Capital Asset Pricing Model 4, 4 Harvey, Campbell R, The Term Structure and World Economic Growth, The Journal of Fixed Income, June 1991 Harvey, Campbell R, Term Structure Forecasts Economic Growth, Financial Analysts Journal, May/June,

12 5 (insurance), ( hedging),,,, (flat) (inverted), <II -1> 4,,,,,

13 <II -1>, - - -, -, - -, -, , -, - -, - - -, 6

14 7,,,,,,,

15 ,, Stock and Watson(1989) , (10T-Bond - 1T-Bill ), GDP GDP GDP, GDP, GDP Harvey(1989, 1993), Harvey(1991a), Harvey(1991b), Clinton(1994), Cozier and Tkacz(1994)Harvey(1997) Harvey(1997)

16 , Hamilton and Kim(2000) (Term Premium) 5 2 GDP Probit, 1, 0 Probit Probit Estrella and Hardouvelis(1991), Estrella and Mishkin(1995), Estrella and Mishkin(1996), Dueker(1997) Estrella and Mishkin Estrella and Mishkin(1995), Bernard and Gerlach(1996), 8 Atta-mensah and Tkacz(1998) Probit Hirata and Ueda(1998) 5 ( ) (, ) 9

17 10 Probit, GDP Probit, ( ) (10T-Bond - 3 T-bill ) Haubrich and Dombrosky(1996) (10T-Bond - 3 T-Bill )4 GDP, 80, Dotsey(1998) 4, 1985~1995, 19903/4, /4, 19602/4 1967,

18 50%,, 2, (3 CP - 3 Treasury Bill ), Bernanke(1990), CP (CP - Treasury Bill ) ( - (CP - Treasury Bill ) (CP - Treasury Bill ) 6 Bernanke(1990), Friedman and Kuttner(1991), Gertler and Lown(2000) 11

19 1960~70 CP 12 CP MMF 1980 (CP - Treasury Bill ) CD,, RP, CD CD CD CP CP CP (CP - Treasury Bill ) CD Friedman and Kuttner(1991) (CP - Treasury Bill ), Friedman and Kuttner(1991)(CP -Treasury Bill ) CP CP 80,, (CP - Treasury Bill )

20 III 1 (1) ( =1, =0) Probit R t = a 0 + a 1 X t-k + e t R t = 1( ) 0( ), X t-k : k P(R t = 1) = F(a 0 + a 1 X t-k ) P, F 19651~200014, (10T-Bond - 3 T-Bill ), NBER 1, 9 9 Pseudo-R 2, 9 13

21 Pseudo-R 2 7 <III -1> Probit k=3 k=6 k=9 k=12 a a Pseudo R : 1( ), 0( ), (10-3 ) k Pseudo R 2 =1-(logL u/logl c) -(2/n)logLc, logl u (Log Likelyhood), LogL c Estrella and Mishkin(1997) Probit < III-1>, < III -1> ( ) % : ~ ~ , 3~9 50% 7 Pseudo-R 2 Probit Logit Estrella(1995) 14

22 197311~ ~ %, 19817~ % ~ %, 19907~ % 90 ( ) < III-2> Probit ~19753, 19801~19807, 19817~198211, ~ ~ ,,, 8 8 (LG,, ),, Probit, 15

23 (%) < III -2> GDP ( ) : 3 GDP : FRB, 50%, (2) Probit 19721~20014 (3 CP - 3 Treasury Bill ) (Moody s Baa - Aaa ) (Moody s Baa - Aaa ) (3 CP - 3 Treasury Bill ) 16

24 2 (3 CP - Treasury Bill ) Pseudo R 2, < III -3> ~ ~ %, 56%, 19817~ % 19907~19913 < III -3> ( ) % : ~ ~20016 Probit, 17

25 (3) 20018~ ~12, (20019) 48% ( < III -1> ) < III -4> (%) : FRB, , 320, 419 2%, % %

26 4 9 8% (flat) (inverted), (steep) < III -5> (%p) ( Baa - Aaa ) (10-3 ) : FRB < III -6> (%) ( ) : FRB 19

27 2 (1) , 5, ~ (1997) (5-1 )(5-1 ), (3 - ) 20

28 Pseudo R 2 9 <III -2> Probit k=3 k=6 k=9 k=12 a a Pseudo R : 1( ), 0( ), (5-1 ) k Pseudo R 2 =1-(logL u/logl c) -(2/n)logLc, logl u (Log Likelyhood), LogL c 9 < III-7>,, 19922~ %, 19968~ % 19881~ % < III -7> ( ) % : ~ ~

29 9 50% (5-1 ) (-), 1997 (+) 10 < III -8> (, %p) 4 (, %) 40 2 GDP ( ) : 3 GDP (5-1 ) : , 22

30 , < III-8> 1997 (-), (+),, (2) (3-5 ) Probit (3 - ) (3 BBB- - AA- ),, Probit Probit Pseudo R 2 1 Pseudo R 2 23

31 < III -9>, 19922~ ~ % 19881~ % 19968~ % 50% Probit < III -9> ( ) % : 1 (3) (< III -7>, < III -9> ) (5-1 ) 10%, 24

32 (3-5 ) 20~30% (5-1 ) 1997 (5-1 ) (5-1 )1997 (-) 1998 (+), (5-1 ) (3 - ) (3-5 ), (BBB- - AA- ) (3 - ) (BBB- - AA- ), 9 2 (3 - ) % 2 3, 9, 25

33 (BBB- - AA- ) 9 2% 2000, % 2 (3 - ), (BBB- - AA- ) 2 (3 - )5 14%, 1 2, 3 < III -10> (%) BBB- - AA :, BondWeb 26

34 (BBB- - AA- )2 5% 5 47% BBB- AA- 3, < III -11> (%) :, BondWeb 27

35 28 IV 80 90,, 20008~12, %,, %

36 3 9 24% 4 9 8% (3 - ) (BBB- - AA- ), 9 2 (3 - ) % 2 3 (BBB- - AA- ) 9 2% 2000, % 2 (3 - ), (BBB- - AA- ) 2 (3 - )5 14% (BBB- - AA- )2 5% 5 47%, 29

37 30, 3, 10,

38 < >,,,,, 19999,,, Atta-Mensah, Joseph and Greg Tkacz, Predicting Canadian Recessions Financial Variables: A Probit Approach, Working Paper, Bank of Canada, 1998 Bernard, Henri and Stefan Gerlach, "Does the Term Structure Predict Recessions? The International Evidence", BIS Working Paper No37, September 1996 Bernard, Henri and Stefan Gerlach, Does the Term Structure Predict Recessions? The International Evidence, Working Paper, BIS, September 1996 Bernanke, Ben, On the Predictive Power of Interest Rates and Interest Rate Spreads, NBER Working Paper No 3486, October 1990 Bonser-Neal and Morley,"Does the Yield Spread Predict Real Economic Activity? A Multicountry Analysis", Economic Review, Federal Reserve Bank of Kansas City Vol 82 No 3, Third Quarter 1997 Clinton, Kevin, The Term Structure of Interest Rate as a Leading Indicator of Economic Activity : A Technical Note, Bank of Canada Review, Winter Cozier, Barry and Greg Tkacz, The Term Structure and Real Activity in Canada, Working Paper 94-3, Bank of Canada, 1994 Dotsey, Michael, The Predictive Content of the Interest Rate Term Spread for Future Economic Growth, Economic Quarterly, FRB of Richmond, Summer 1998 Dueker, Michael J, Strengthening the Case for the Yield Curve as a Predictor of US Recessions, Review, FRB of St Louis, March/April 1997 Estrella, Artuto and Anthony P Rodrigues and Sebastian Schich, How Stable Is the Predictive Power of the Yield Curve? Evidence from Germany and the United States, Staff Reports, FRB of New York, September 2000 Estrella, Artuto and Hardouvelis, "The Term Structure as a Predictor of Real Economic Activity", The Journal of Finance Vol XL No2, June 1991 Estrella, Artuto, Frederic S Mishkin, The Term Structure of Interest Rates and Its Role in Monetary Policy For the European Central Bank, NBER Working Paper 5279, September 1995 Estrella, Artuto, Frederic S Mishkin, The Yield Curve as a Predictor of US Recessions, Current Issues, FRB of New York, June 1996 Estrella, Artuto and Frederic S Mishkin, "The Predictive Power of the Term Structure of Interest 31

39 Rates in Europe and the United States: Implications for the European Central Bank", European Economic Review Vol 41, 1997 Frank Smets and Kostas Tsatsaronis, "Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States", BIS Working Paper No49, September 1997 Friedman, Benjamin M, Kenneth N Kuttner, Why Does the Paper-Bill Spread Predict Real Economic Activity?, NBER Working Paper No 3879, October 1991 Gerlach, "The Information Content of the Term Structure: Evidence for Germany", BIS Working Paper No29, September 1995 Gertler, Mark and Cara S Lown, The Information in the High Yield Bond Spread For the Business Cycle:Evidence and Some Implications, Working Paper 7549, NBER, February 2000 Hamilton, James D and Dong Heon Kim, A Re-Examination of the Predictability of Economic Activity Using the Yield Spread, Working Paper 7954, NBER, October 2000 Harvey, Campbell R, Forecasts of Economic Growth from the Bond and Stock Markets, September/October, 1989 Harvey, Campbell R, The Relation Between the Term Structure of Interest Rate and Canadian Economic Growth, Canadian Journal of Economics, February 1997 Harvey, Campbell R, Interest Rate Based Forecasts of German Economic Growth, Weltwirfschaftliches Archiv Review of World Economics, 1991a Harvey, Campbell R, The Term Structure and World Economic Growth, The Journal of Fixed Income, June 1991b Harvey, Campbell R, Term Structure Forecasts Economic Growth, Financial Analysts Journal, May/June, 1993 Harvey, The Relation between the Term Structure of Interest Rates and Canadian Economic Growth, Canadian Journal of Economics, Feb 1997 Haubrich, Joseph G and Ann M Dombrosky, Predicting Real Growth Using the Yield Curve, Economic Review Q I, FRB of Cleveland, 1996 Hirata, Hideaki and Kazuo Ueda, The Yield Spread as a Predictor of Japanese Recessions, Working Paper 98-3, Bank of Japan, January 1998 Kozicki, "Predicting Real Growth and Inflation with the Yield Spread", Economic Review, Federal Reserve Bank of Kansas City Vol 82 No 4, Fourth Quarter 1997 Plosser and Rouwenhorst, "International Term Structure and Real Economic Growth", Journal of Monetary Economics Vol 33, 1994 Stock, James H and Mark W Watson, New Indexes of Coincident and Leading Indicators, In Oliver Blanchard and Stanley Fisher, eds, NBER Macroeconomic Annual 4,

歯표지_최종H_.PDF

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歯목차.PDF