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 <italic>et al.</italic> (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.
Year of publication: |
2012
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Authors: | Koeda, Junko |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 10, p. 929-933
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Publisher: |
Taylor & Francis Journals |
Saved in:
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