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What Does the Yield Curve Tell us about GDP Growth?

Ang, Andrew - 2004

A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The...

Persistent link: https://www.econbiz.de/10012468018

Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Ang, Andrew - 2003

century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for …

Persistent link: https://www.econbiz.de/10012469021

Stock Return Predictability : Is it There?

Ang, Andrew - 2001

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …

Persistent link: https://www.econbiz.de/10012470517

Regime Switches in Interest Rates

Ang, Andrew - 1998

econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …

Persistent link: https://www.econbiz.de/10012472295