In Search of Leading Indicator Property of Yield Spread for India: An Approach Based on Quantile and Wavelet Regression

Table 3

Estimation results of different quantiles of output growth and inflation prediction using yield spreads.

	Quantile	Output growth			Inflation
		Coefficient	St. error	value	Coefficient	St. error	value
= 2	0.2	0.00	0.20	0.99	−0.04	0.14	0.77
	0.4	−0.17	0.19	0.35	−0.12	0.10	0.22
	0.6	−0.10	0.19	0.59	−0.09	0.09	0.29
	0.8	−0.25	0.28	0.36	−0.2	0.09	0.02
= 4	0.2	0.16	0.16	0.30	−0.03	0.11	0.76
	0.4	−0.06	0.17	0.70	−0.12	0.09	0.16
	0.6	−0.08	0.19	0.66	−0.12	0.09	0.19
	0.8	−0.18	0.32	0.57	−0.08	0.16	0.61
= 6	0.2	0.3	0.15	0.01	0.06	0.09	0.49
	0.4	0.07	0.17	0.64	−0.09	0.09	0.31
	0.6	−0.06	0.17	0.73	−0.13	0.09	0.16
	0.8	−0.42	0.17	0.01	−0.12	0.16	0.45
= 8	0.2	0.20	0.17	0.25	0.09	0.09	0.33
	0.4	−0.17	0.19	0.38	−0.07	0.09	0.42
	0.6	−0.08	0.17	0.64	−0.04	0.11	0.70
	0.8	−0.37	0.16	0.02	−0.03	0.22	0.86^**

represents the significance at 5% level.