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Forecasting New Zealand's economic growth using yield curve information

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Abstract

We forecast economic growth in New Zealand using yield curve data within simple statistical models; i.e. typical OLS relationships that have been well-established for other countries, and related VAR specifcations. We find that the yield curve data has significant forecasting power in absolute terms and performs well relative to various benchmarks. Specifications including measures of the yield curve slope produce the best forecasts overall. Our results also highlight the benefits of fully exploiting the timeliness of yield curve information (i.e it is always available and up to date).

Suggested Citation

  • Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  • Handle: RePEc:nzb:nzbdps:2009/18
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    Cited by:

    1. Nicoletta Batini & Mr. Thomas Dowling, 2011. "Interpreting Currency Movements During the Crisis: What's the Role of Interest Rate Differentials?," IMF Working Papers 2011/014, International Monetary Fund.
    2. Enzo Cassino, 2012. "Modelling New Zealand mortgage interest rates?," Reserve Bank of New Zealand Analytical Notes series AN2012/10, Reserve Bank of New Zealand.
    3. Leo Krippner, 2012. "A model for interest rates near the zero lower bound: An overview and discussion," Reserve Bank of New Zealand Analytical Notes series AN2012/05, Reserve Bank of New Zealand.

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    More about this item

    JEL classification:

    • 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
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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