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A Note on Yield Spread and Output Growth

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  • Rodrigo Alfaro
  • Damián Romero

Abstract

In this paper we compute the impact of the yield spread on output growth, based on a standard DSGE model. As it is supported by empirical literature, we found that yield spread can be used only to forecast output growth for short-term horizons (less than 2 years). Moreover, the size of that impact obtained from calibration of the model is consistent with previous empirical results.

Suggested Citation

  • Rodrigo Alfaro & Damián Romero, 2013. "A Note on Yield Spread and Output Growth," Working Papers Central Bank of Chile 700, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:700
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_700.pdf
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    References listed on IDEAS

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