IDEAS home Printed from https://ideas.repec.org/a/eee/ecanpo/v34y2004i2p121-44.html
   My bibliography  Save this article

Does the Term Structure Predict Australia's Future Output Growth?

Author

Listed:
  • Valadkhani, Abbas

    (School of Economics and Information Systems, University of Wollogong, Wollogong, NSW)

Abstract

The predictive power of the term structure of interest rates and four leading indicators for real output growth is examined using quarterly time series. Results are consistent with studies for France, Germany, the UK and Australia. The significance of the interest rate spread is robust to the inclusion of four other predictors. The annualised interest rate spread between 10-year Treasury bonds and 90-day bank bills explains 26 per cent of Australia's future output growth. It is found that the interest rate spread of Australia's major trading partners and an ABS composite leading indicator provide significant predictive power when the forecasting horizon is greater than 6 quarters. The results indicate that quarterly growth rates of Ml and the S&P/ASX 200 share price index are useful predictors of Australia's GDP growth when forecasting horizons are less than 10 (or 12) quarters.

Suggested Citation

  • Valadkhani, Abbas, 2004. "Does the Term Structure Predict Australia's Future Output Growth?," Economic Analysis and Policy, Elsevier, vol. 34(2), pages 121-144, September.
    • Handle: RePEc:eee:ecanpo:v:34:y:2004:i:2:p:121-44
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0313592604500152
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jacob Poke & Graeme Wells, 2009. "The Term Spread and GDP Growth in Australia," The Economic Record, The Economic Society of Australia, vol. 85(269), pages 121-131, June.
    2. Mr. Fabian Lipinsky & Ms. Li L Ong, 2014. "Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?," IMF Working Papers 2014/037, International Monetary Fund.
    3. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.

    More about this item

    Keywords

    Growth; Interest Rates; Interest; Output; Term Structure of Interest Rates;
    All these keywords.

    JEL classification:

    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecanpo:v:34:y:2004:i:2:p:121-44. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/economic-analysis-and-policy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.