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Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets

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  • Saar, Dan
  • Yagil, Yossi

Abstract

Past research has shown that the government yield curve and credit spreads can predict future macroeconomic parameters such as the growth rate. However, it has focused mostly on the US government yield curve. In this study we extend the existing notion by using both government and corporate yield curves to predict economic growth and stock market behavior in three main markets outside the US.

Suggested Citation

  • Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
    • Handle: RePEc:eee:intfin:v:37:y:2015:i:c:p:27-41
    DOI: 10.1016/j.intfin.2015.04.002
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    Cited by:

    1. Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017. "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 192-205.
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    3. Bossman, Ahmed & Umar, Zaghum & Agyei, Samuel Kwaku & Teplova, Tamara, 2023. "The impact of the US yield curve on sub-Saharan African equities," Finance Research Letters, Elsevier, vol. 53(C).

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