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Forecasting New Zealand's economic growth using yield curve information

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Abstract

We forecast economic growth in New Zealand using yield curve data within simple statistical models; i.e. typical OLS relationships that have been well-established for other countries, and related VAR specifcations. We find that the yield curve data has significant forecasting power in absolute terms and performs well relative to various benchmarks. Specifications including measures of the yield curve slope produce the best forecasts overall. Our results also highlight the benefits of fully exploiting the timeliness of yield curve information (i.e it is always available and up to date).

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File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2009/dp09_18.pdf
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Bibliographic Info

Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2009/18.

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Length: 39 p
Date of creation: Dec 2009
Date of revision:
Handle: RePEc:nzb:nzbdps:2009/18

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Cited by:
  1. Enzo Cassino, 2012. "Modelling New Zealand mortgage interest rates?," Reserve Bank of New Zealand Analytical Notes series AN2012/10, Reserve Bank of New Zealand.
  2. Thomas Dowling & Nicoletta Batini, 2011. "Interpreting Currency Movements During the Crisis: What's the Role of Interest Rate Differentials?," IMF Working Papers 11/14, International Monetary Fund.
  3. Leo Krippner, 2012. "A model for interest rates near the zero lower bound: An overview and discussion," Reserve Bank of New Zealand Analytical Notes series AN2012/05, Reserve Bank of New Zealand.

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