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首页> 外文期刊>The North American journal of economics and finance >The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data
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The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data

机译：期限利差和形态变化在预测英国股票收益率和波幅中的作用：来自使用250多年数据的非参数因果关系检验的证据

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摘要

Given the existence of nonlinear relationship between equity premium and term spread, as well as pattern changes and the interaction of pattern changes with the term-spread and changes in the shape of the yield curve, we use a nonparametric k-th order causality-in-quantiles test to predict the movement in excess returns and volatility based on changes in the shape of the yield curve. With the test applied to over 250 years of monthly data for the UK covering the period 1753:08 to 2017:02, we find that pattern changes and the interaction of pattern changes with the term-spread, besides the term spread itself, tends to also play an important role in predicting volatility at the upper end of its conditional distribution. In addition, the effect on excess returns from term spread, pattern changes and the interaction is found to have improved markedly over time, barring at the conditional median of the equity premium. Finally, comparisons are made with historical data of the US and South Africa, and implications of our results are discussed.
机译：考虑到股权溢价和期限利差之间存在非线性关系，以及模式变化和模式变化与期限利差和收益率曲线形状的相互作用，我们使用非参数第k阶因果关系式-分位数测试可根据收益率曲线形状的变化预测超额收益和波动率的变化。通过对涵盖1753：08至2017：02期间英国250个月月度数据的检验，我们发现模式变化以及模式变化与价差的相互作用，除了价差本身，还倾向于在预测条件波动的上限时，波动率也起着重要作用。此外，除股权溢价的条件中位数外，随着时间的流逝，期限差，形态变化和相互作用对超额收益的影响已显着改善。最后，与美国和南非的历史数据进行了比较，并讨论了我们的结果的含义。

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