Consumer Confidence and Yield Spreads in Europe

  1. Rubio Irigoyen, Gonzalo
  2. Ferreira García, Eva
  3. Navarro Arribas, Eliseo
  4. Martínez Torre-Enciso, Isabel
Aldizkaria:
DFAE-II WP Series

ISSN: 1988-088X

Argitalpen urtea: 2005

Zenbakia: 11

Mota: Laneko dokumentua

DIALNET GOOGLE SCHOLAR lock_openADDI editor

Beste argitalpen batzuk: DFAE-II WP Series

Laburpena

This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business cycles. This new evidence complements the well known results regarding the usefulness of the slope of the term structure of interest rates to predict real economic conditions and, in particular, recessions by using a direct measure of expectations. A linear combination of European yield spreads explains a surprising 93.7% of the variability of the Economic Sentiment Indicator. Yield spreads seem to be a key determinant of consumer confidence in Europe.

Datuen iturria: Dialnet