A Note on Yield Spread and Output Growth

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.

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Year of publication:	2013-07
Authors:	Alfaro, Rodrigo ; Romero, Damián
Institutions:	Banco Central de Chile

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Extent:	application/pdf
Series:	Working Papers Central Bank of Chile.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010821579