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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.

Suggested Citation

  • Junko Koeda, 2012. "How does yield curve predict GDP growth? A macro-finance approach revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 19(10), pages 929-933, July.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:929-933
    DOI: 10.1080/13504851.2011.608632
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    Cited by:

    1. 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.
    2. Junfeng Jiang, 2023. "Heterogeneous Influence of Socioeconomic Inequality on Population Health: A Cross-national Study," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 169(3), pages 1109-1124, October.
    3. 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.
    4. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
    5. 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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