Koeda, Junko - In: Applied Economics Letters 19 (2012) 10, pp. 929-933
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,...