Skip to main content
SpringerLink
Log in

Forecasting Economic Activity of East Asia Through the Yield Curve (Predicting East Asia’s Economic Growth and Recession)

  • Conference paper
  • First Online:
Emerging Trends in Banking and Finance

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

  • 907 Accesses

Abstract

There have been significant changes in the presentation of health services along with technological innovations and developments experienced in the second half of the twentieth century. Due to the nature of the health care services, many different, complex and economically expensive services are required to be carried out together. For this reason, it is significantly importance that health services are delivered effectively and efficiently to people without sacrificing quality. In this study, the health care performance and efficiency of OECD countries have been analyzed in two stages. The data obtained from the OECD database. First, the efficiencies were determined by data envelopment analysis using the MaxDEA program, then the values of these countries were taken as dependent variables and Panel Data Analysis was applied with the R package program. As a result of analyzes, the socio-economic variables affecting the health care services of the countries have been determined.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 129.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  • Bonser-Neal, Catherine, and Timothy R. Morley. (1997) “Does the Yield Spread Predict Real Economic Activity? A Multicountry Analysis,” Federal Reserve Bank of Kansas City Economic Review, vol. 82, pp. 37–53.

    Google Scholar 

  • Diebold, Francis X., and Roberto S. Mariano. (1995) “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, vol. 13, pp. 253–63.

    Google Scholar 

  • Dueker, Michael J. (1997) “Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions,” Federal Reserve Bank of St. Louis Review, vol. 79 (March/April), pp. 41–51.

    Google Scholar 

  • Ederington, A. (2005) “The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank,” European Economic Review, vol. 41 (July), pp. 1375–1401.

    Google Scholar 

  • Estrella, A. (2005). Why does the yield curve predict output and inflation?. The Economic Journal, 115(505), 722–744.

    Article  Google Scholar 

  • Estrella, Arturo, and Turbin A.H. (2006), “The Term Structure as a Predictor of Real Economic Activity,” Journal of Finance, vol. 46 (pp. 555–76).

    Article  Google Scholar 

  • Estrella, Arturo, and Frederic S. Mishkin. (1997), “Predicting U.S. Recessions: Financial Variables as Leading Indicators,” Review of Economics and Statistics, vol. 80 (pp. 45–61).

    Article  Google Scholar 

  • Feitosa, M.A. and Tabak, B.N. (2007). “Predictability of Economic Activity Using Yield Spreads: The Case of Brazil. Anais Do XXXV Encontro Nacional De Economia” Proceedings of the 35th Brazilian Economics Meeting, 029.

    Google Scholar 

  • Feroli, M. (2004) “Monetary Policy and Informational Content of the Yield Spread”, Federal Reserve Board Division of Research and Statistics. pp. 39–57.

    Google Scholar 

  • Gogas, P., & Pragidis, I. (2010). Does the interest risk premium predict housing prices. DUTH Research Papers in Economics 1–2010, Democritus University of Thrace, Department of Economics.

    Google Scholar 

  • Gogas, P. and Pragidis, I. (2012). “GDP trend deviations and The Yield Spread: The Case of Eight E.U Countries”. Journal of Economics and Finance 36: 226–237.

    Article  Google Scholar 

  • Goodfriend, Marvin. (1993) “Interest Rate Policy and the Inflation Scare Problem,” Federal Reserve Bank of Richmond Economic Quarterly, vol. 79 pp. 1–24.

    Google Scholar 

  • Hodrick, R. J., & Prescott, E. C. (1997). Postwar US business cycles: an empirical investigation. Journal of Money, credit, and Banking, 1–16.

    Article  Google Scholar 

  • Hamilton, J.D. and Kim D.H, (2002). “A Re-examination of the predictability of economic activity using the yield spread. Journal of money”, Credit and Banking 34(2): 340–360.

    Article  Google Scholar 

  • Hu, Z. (1993). “The Yield curve and Real Activity”. IMF Staff Papers 40(4):781–806.

    Article  Google Scholar 

  • Jallah, S. (2004). “A VAR analysis of the effects of monetary policy in Malaysia”. Master of Economics Research Report, University of Malaya, Kuala Lumpur.

    Google Scholar 

  • Kim, A. and Limpaphayom, P. (1997). “The Effect of Economic Regimes on the Relation between Term Structure and Real Activity in Japan”. Journal of Economics and Business, 49(4), 379–392.

    Article  Google Scholar 

  • Laurent, Robert. (1988) “An Interest Rate-Based Indicator of Monetary Policy,” Federal Reserve Bank of Chicago Economic Perspectives, vol. 12 (January/February), pp. 3–14.

    Google Scholar 

  • Mehl, A. (2006) “The Yield Curve as a Predictor and Emerging Economies” Bofıt Discussion Paper No. 18/2006.

    Google Scholar 

  • McFadden, D. (1974) “Quantitative Methods for Analyzing Travel Behaviour on Individuals: Some Recent Developments”. Discussion of model evaluation (in the context of multinomial logit models) p. 306.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of International Economics and Finance, European University of Lefke, Lefke, North Cyprus, Turkey

    Osman Altay & Kelvin Onyibor

Authors
  1. Osman Altay
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Kelvin Onyibor
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Kelvin Onyibor .

Editor information

Editors and Affiliations

  1. Eastern Mediterranean University, Famagusta, Cyprus

    Nesrin Ozatac

  2. Department of Banking and Finance, Eastern Mediterranean University, Famagusta, Cyprus

    Korhan K. Gökmenoglu

Appendix

Appendix

See Figs. 6, 7 and Tables 8, 9.

Fig. 6.
figure 6

Extracted cyclical component of real GDP sensitivity to alternative parameter specifications for China

Full size image
Fig. 7.
figure 7

Extracted cyclical component of real GDP sensitivity to alternative parameter specifications for South Korea

Full size image
Table 8. This table represents the descriptive statistics of the regression variables
Full size table
Table 9. Shows the unit root test of the variables
Full size table

CHINA

Probit estimation with Spread as the only explanatory variable

Variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−1

3.39E-15

8.28E-14

4.24093

0.0074

0.324575

Ut−2

−1.99E-14

8.58E-14

−0.231916

0.0066

0.351127

Ut−3

−4.47E-14

8.92E-14

−0.501031

0.0063

0.370636

Ut−4

−7.21E-14

9.31E-14

−0.774496

0.4386

0.24188

Probit estimation with Spread and SPI as explanatory variables

variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−3

3.95E-14

 

0.352683

0.0043

0.394896

SPI

−2.129939

0.752617

−2.830044

0.0047

 

Probit estimation with Spread and M2 as explanatory variables

variable

Ut−3

Coefficient

−2.04E-12

Std. error

9.88E-13

z-Statistic

−2.060957

Prob.

0.0393

McFadden

0.054867

M2

9.55E-14

4.73E-14

2.019006

0.4435

 

Probit estimation with Spread, SPI and M2 as explanatory variables

variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−3

−5.28E-13

1.12E-12

−0.470244

0.0082

 

SPI

−1.993532

0.801988

−2.485739

0.0129

0.189862

M2

2.81E-14

5.29E-14

0.531409

0.5951

 

South Korea

Probit estimation with Spread as the only explanatory variable

variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−1

0.38186

0.167243

2.283271

0.0224

0.072325

Ut−2

0.464091

0.190391

2.437563

0.0148

0.154091

Ut−3

0.37696

0.194896

1.93416

0.0531

0.053473

Ut−4

0.228711

0.199935

1.143926

0.2527

0.018345

Probit estimation with Spread and SPI as explanatory variable

variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−2

0.471892

0.189747

2.486952

0.0129

0.097593

SPI

−0.677071

0.7431

−0.911143

0.3622

 

Probit estimation with Spread and M2 as explanatory variable

variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−2

0.510818

0.201626

2.533496

0.0113

0.086515

M2

−8.86E-17

4.29E-16

−0.20643

0.8365

 

Probit estimation with Spread SPI and M2 as explanatory variable

variable

Coefficient

Std. error

z-Statistic

Prob.

McFadden

Ut−2

0.325097

0.225823

1.439611

0.15

 

SPI

1.39E-15

1.02E-15

1.369161

0.1709

0.124164

M2

−0.907302

1.785937

1.627886

0.1035

 

Rights and permissions

Reprints and permissions

Copyright information

© 2018 Springer Nature Switzerland AG

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Altay, O., Onyibor, K. (2018). Forecasting Economic Activity of East Asia Through the Yield Curve (Predicting East Asia’s Economic Growth and Recession). In: Ozatac, N., Gökmenoglu, K. (eds) Emerging Trends in Banking and Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-01784-2_7

Download citation

Publish with us

Policies and ethics

Search

Navigation