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

Rajan Goyal and K. Kanagasabapathy

No 2002/091, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; interest rate; market expectation; nominal interest rate; rupee yield curve; Yield curve; yield spread; leading indicators; government securities market; production function; secondary market yield; market player; financial market participant; Short term interest rates; Government securities; Real interest rates (search for similar items in EconPapers)
Pages: 20
Date: 2002-05-01
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Citations: View citations in EconPapers (6)

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