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Forecasting New Zealand's economic growth using yield curve information

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).

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File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2009/dp09_18.pdf
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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2009/18.

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Length: 39 p
Date of creation: Dec 2009
Date of revision:
Handle: RePEc:nzb:nzbdps:2009/18
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  12. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
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