The Implication Of The Yield Spread In Term Structure And Its Relationship With Economy

Given the background of the heated discussion about the prospective of the US economy, the purpose of this thesis is to give out our judgment and point about whether the US economy will enter a new round recession from the beginning of 2008 mainly from the term structure perspective through introducing the relative theories and building statistic modeling combined with the some supportive ideas and analysis from other scholars. The emphasis of this thesis falls not on the final answer of yes or not to the question that whether the US economy will enter a new round recession, but rather on the process and idea of building modeling and the application of this modeling. This thesis intends to analyze the yield spread in the term structure of the US Treasury bond from empirical numbers and by doing so to explore the implication and its relationship with the whole US economy and give out our prediction about the economy prospective further.In the thesis we will describe the following contents: The justification and specification about our choosing of data and variables in discussion; The introduction about the relative theories and definitions involved in discussion; The quantitative analysis and according judgments. After the systematic analysis, we conclude that the economy of the United States in 2008 will not enter into a new round of recession at least according to our model. At the same, during this analytic process, we also explore the close relationship between the term spread in the term structure of the United States Treasury bond market and the economy prospect. The whole idea and explicit modeling process are more important than the conclusion itself in terms of the meaning of this thesis.The main data used in the thesis is the quarterly data from 1970:Q1 to 2008:Q1 from the release of NBER (National Bureau of Economy Research of the US), the statistic software used is SAS and the default significant level is 0.05 for the statistic analysis, we attach the relative notes and specifications in the appendix after the thesis for reference.