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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：术语传播和模式的作用在预测股票回报和联合王国的波动性方面的作用：来自非参数因果关系的证据，使用超过250年的数据

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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：鉴于股权溢价与术语分布之间的非线性关系的存在，以及模式变化和模式变化与屈服曲线形状的变化变化，我们使用非参数k订单因果关系 - 基于产量曲线形状的变化，Quantiles测试预测超出返回和波动率的运动。随着测试应用于英国的每月数据超过250年，覆盖于1753年的时间：08至2017：02，我们发现模式改变和模式变化与术语传播的变化相互变化，除了术语蔓延本身，往往在预测其条件分布的上端的挥发性方面也发挥着重要作用。此外，发现对术语扩散，模式变化和相互作用的过度返回的影响随着时间的推移而显着改善，禁止在股权溢价的条件中位。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影响。

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