Research Article
In Search of Leading Indicator Property of Yield Spread for India: An Approach Based on Quantile and Wavelet Regression
Table 6
Estimation results of inflation prediction using yield spread at different time scales.
| | Months | Coefficient | | | | | |
| | = 2 | | 0.04 (0.04) | −0.18 (0.12) | 0.28 (0.24) | −1.65 (0.39 | 0.02 (0.13) | | −0.00 | 0.01 | 0.01 | 0.26 | −0.00 |
| | = 4 | | −0.01 (0.04) | −0.03 (0.13) | 0.32 (0.30) | −0.88 (0.36 | −0.01 (0.12) | | −0.00 | −0.00 | 0.01 | 0.07 | −0.00 |
| | = 6 | | −0.05 (0.05) | −0.05 (0.10) | 0.12 (0.23) | −0.00 (0.49) | −0.04 (0.11) | | 0.00 | −0.00 | −0.00 | −0.00 | −0.00 |
| | = 8 | | 0.04 (0.07) | −0.07 (0.10) | 0.07 (0.26) | 0.74 (0.61) | −0.06 (0.10) | | −0.00 | −0.00 | −0.00 | 0.04 | −0.00 |
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Standard errors are in parentheses. , , and denote significance at 1%, 5%, and 10%, respectively. refers to the coefficient of determination.
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