How does yield curve predict GDP growth? A macro-finance approach revisited
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.
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Volume (Year): 19 (2012)
Issue (Month): 10 (July)
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