We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output … spreads and government bond yields to shed light on the dynamic characteristics of the yield curve. Econometric analysis shows …

This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution … for the yield spread's usefulness for predicting GDP growth …

The yield spread is a well documented leading indicator of GDP growth. Estrella (2005) proposes a model to explain this … relationship. Within the model, the leading properties of the yield spread are determined by the monetary policy. Accordingly …

The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about … premium measure is rather stable and contra-cyclical, with the expectation part accounting for most of the yield variability …

. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson …-Siegel Model is implemented to estimate the latent factors which correspond to the level, slope, and curvature of the yield curve …. As policy implication, the interpolated term structure suggests us how all the macro shocks impact on the overall yield …