Menu Expand

On the Information Content of the Yield Curve: Lessons for the Eurosystem?

Cite JOURNAL ARTICLE

Style

Berk, J., Bergeijk, P. On the Information Content of the Yield Curve: Lessons for the Eurosystem?. Credit and Capital Markets – Kredit und Kapital, 34(1), 28-47. https://doi.org/10.3790/ccm.34.1.28
Berk, Jan Marc and Bergeijk, Peter van "On the Information Content of the Yield Curve: Lessons for the Eurosystem?" Credit and Capital Markets – Kredit und Kapital 34.1, 2001, 28-47. https://doi.org/10.3790/ccm.34.1.28
Berk, Jan Marc/Bergeijk, Peter van (2001): On the Information Content of the Yield Curve: Lessons for the Eurosystem?, in: Credit and Capital Markets – Kredit und Kapital, vol. 34, iss. 1, 28-47, [online] https://doi.org/10.3790/ccm.34.1.28

Format

On the Information Content of the Yield Curve: Lessons for the Eurosystem?

Berk, Jan Marc | Bergeijk, Peter van

Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 1 : pp. 28–47

2 Citations (CrossRef)

Additional Information

Article Details

Author Details

Jan Marc Berk, Amsterdam

Peter van Bergeijk, Rotterdam

Cited By

  1. THE APPLICATION OF SOVEREIGN BOND SPREADS: THE CASE OF SELECTED EU COUNTRIES AND THE USA

    Hvozdenská, Jana

    Acta academica karviniensia, Vol. 15 (2015), Iss. 1 P.59

    https://doi.org/10.25142/aak.2015.005 [Citations: 0]

References

  1. Alonso, F./Ayuso, J./Martinez Pages, J. (1997): How informative are financial asset prices in Spain?, Working Paper, no. 9726, Banca de Espafa.  Google Scholar
  2. Albers, R. M./Bijsterbosch, M./Vijselaar, F. (2000): The real economy of the euro area, in: Bergeijk, PA.G. van, Berndsen, R.J. /Jansen, J. (eds.), Euro Area Economics. Edward Elgar, Cheltenham.  Google Scholar
  3. Angeloni, I./Rovelli, R. (1999): Monetary Policy and Interest Rates. Macmillan, London.  Google Scholar
  4. Berk, J. M. (1998): The Information Content of the Yield Curve for Monetary Policy: A Survey, De Economist, 146, pp. 303-320.  Google Scholar
  5. Berk, J. M./Bikker, J. A. (1995): International interdependence of business cycles in the manufacturing industry: the use of leading indicators for forecasting and analysis. Journal of Forecasting, 14, pp. 1-23.  Google Scholar
  6. Berk, J. M./Kakes, J. 1./ Houben, A. C. J. F. (2000): Monetary Policy and Strategy of the Eurosystem, in: Bergeijk, PP A. G. van/Berndsen, R. J. /Jansen, J. (eds.), Euro Area Economics. Edward Elgar, Cheltenham.  Google Scholar
  7. Berk, J. M./Knot, K. (1997): Co-movements in longterm interest rates and the role of exchange rate expectations: Evidence from survey data. MEB Series no. 1997-08, De Nederlandsche Bank.  Google Scholar

Abstract

The focus of this paper is on the use of the yield curve in monetary policy making. Theoretical arguments and a multi-country empirical analysis with an explicit focus on the euro area suggest the need for caution in case the Eurosystem uses the yield curve as an information variable for monetary policy, because multiple theoretical explanations exist for an observed movement in the yield curve, suggesting that policy reactions cannot be prescribed unambiguously. In addition, the empirical analysis shows that, in contrast with earlier findings of, for example, Hardouvelis (1994) and Bernard/Gerlach (1996), the information content of the yield curve is fairly limited. For the individual European countries participating in the Eurosystem as well as for the euro area as a whole, the yield spread possesses only very limited information relating to future movements in the inflation rate and output growth, over-and-above the information contained in the history of the latter variables. (JEL E43, E58)