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The Relation between the Term Structure of Interest Rates and Canadian Economic Growth

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Author Info
Campbell R. Harvey

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Abstract

The Canadian bond market contains valuable information about the future real economic growth. These forecasts, which are based on a simple asset-pricing theory, are more accurate than the ones based on time-series models and compare favorably with professional forecasts. Significantly, the term structure of interest rates in Canada can forecast Canadian economic growth over and above the information contained in the U.S. term structure. In addition, evidence is presented that suggests that the Canadian term structure contains information relevant for forecasting the part of Canadian economic growth that is unrelated to the U.S. business cycle.

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Publisher Info
Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 30 (1997)
Issue (Month): 1 (February)
Pages: 169-93
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Handle: RePEc:cje:issued:v:30:y:1997:i:1:p:169-93

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  1. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato, Department of Economics. [Downloadable!]
  2. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia. [Downloadable!]
  3. Atta-Mensah, Joseph & Tkacz, Greg, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Working Papers 98-5, Bank of Canada. [Downloadable!]
  4. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS. [Downloadable!]
  5. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2008. "The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach," Working Papers 0803, Brock University, Department of Economics. [Downloadable!]
  6. Grabowski, Szymon, 2008. "What does a financial system say about future economic growth?," MPRA Paper 11560, University Library of Munich, Germany. [Downloadable!]
  7. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS. [Downloadable!]
  8. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia. [Downloadable!]
  9. Juan Ignacio Pena & Rosa Rodriguez, 2006. "On The Economic Link Between Asset Prices And Real Activity," Business Economics Working Papers wb063209, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  10. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada. [Downloadable!]
  11. Ronald H. Lange, 2005. "Determinants of the long-term yield in Canada: an open economy VAR approach," Applied Economics, Taylor and Francis Journals, vol. 37(6), pages 681-693, April. [Downloadable!] (restricted)
  12. Luis E Arango & Luz Adriana Flórez & Angélica M Arosemena, 2005. "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(125), pages 79-101. [Downloadable!]
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