How does yield curve predict GDP growth? A macro-finance approach revisited
AbstractThis 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 10 (July)
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Web page: http://www.tandfonline.com/RAEL20
Other versions of this item:
- Junko Koeda, 2011. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CIRJE F-Series CIRJE-F-784, CIRJE, Faculty of Economics, University of Tokyo.
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- 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.
- 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.
- 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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