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How does yield curve predict GDP growth? A macro-finance approach revisited

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  • Junko Koeda

Abstract

This article analyses the yield-curve predictability for Gross Domestic Product (GDP) growth by modifying the time-series property of the interest rate process in Ang et al. (2006). When interest rates have a unit root and term spreads are stationary, the short rate's forecasting role changes, and the relationship between the shift of yield curves and GDP growth is intuitively revealed.

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File URL: http://hdl.handle.net/10.1080/13504851.2011.608632
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 10 (July)
Pages: 929-933

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:929-933

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Cited by:
  1. Roman Horvath, 2012. "Do Confidence Indicators Help Predict Economic Activity? The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 398-412, November.
  2. Junko Koeda, 2011. "Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective," CARF F-Series CARF-F-254, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2011.
  3. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.

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