标题： GDP趋势偏差与收益率曲线利差：五个欧盟国家的情况 显示英文标题

标题： GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries

摘要： 多项研究已经确立了收益率曲线在实际经济活动方面的预测能力。 在本文中，我们使用了多种欧洲联盟国家的数据：包括欧元区（德国、法国、意大利）和非欧元区成员（瑞典和英国）。 使用的数据范围从1991年第一季度到2009年第一季度。 对于每个国家，我们提取了实际经济活动的长期趋势和周期性成分，同时相应期限的长期和短期银行间利率用于计算国家特定的收益率差。 我们还增加了非货币政策变量到所测试的模型中：各国的失业率和股票指数。 在努力预测实际产出的方法中，使用了标准分布的逆累积分布函数的probit模型，并使用了几种正式的预测和拟合优度评估测试。 结果表明，加入非货币政策变量的收益率曲线在实际经济活动方面具有显著的预测能力，但所研究的各个经济体的结果在定性上有所不同，这引发了重要的政策含义。 显示英文摘要

摘要： Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q1. For each country, we extract the long run trend and the cyclical component of real economic activity, while the corresponding interbank interest rates of long and short term maturities are used for the calculation of the country specific yield spreads. We also augment the models tested with non monetary policy variables: the countries' unemployment rates and stock indices. The methodology employed in the effort to forecast real output, is a probit model of the inverse cumulative distribution function of the standard distribution, using several formal forecasting and goodness of fit evaluation tests. The results show that the yield curve augmented with the non-monetary variables has significant forecasting power in terms of real economic activity but the results differ qualitatively between the individual economies examined raising non-trivial policy implications.