Some international evidence on the causal impact of the yield curve

We use a new technique developed by Shi, Phillips, and Hurn to examine the causal impact of the yield curve on industrial production in the UK, Germany and Japan. In line with previous work, we find that the impact of the yield curve varies over time and across countries. Periods of Granger causality are few for the UK and Germany, but more frequent in Japan.

Automated summary

This study examines the causal impact of the yield curve on industrial production in the UK, Germany, and Japan using a new technique. The findings show that the impact varies across time and countries.