Economic Sentiment and Yield Spreads in Europe
用欧洲委员会的经济情绪指数直接衡量经济主体预期，发现欧洲收益率利差的线性组合能解释该指数93.7%的变动，从而揭示利差预测商业周期的原因。
Abstract According to Harvey (1988) , the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect investors' expectations about the future economic situation when deciding their plans for consumption and investment. Past literature has used ex post data on output or consumption growth as proxies for their expected value. In this paper, we employ a direct measure of economic agents' expectations, the Economic Sentiment Indicator elaborated by the European Commission, to test this hypothesis. Our results indicate that a linear combination of European yield spreads explains a surprising 93.7\% of the variability of the Economic Sentiment Indicator. This ability of yield spreads to capture economic agent expectations may be the actual reason for the predictive power of yield spreads about future business cycle.