Gogas, Periklis; Papadimitriou, Theophilos; Matthaiou, Maria - In: Computational Economics 45 (2015) 4, pp. 635-645
In this paper, we investigate the forecasting ability of the yield curve in terms of the U.S. real GDP cycle. More specifically, within a Machine Learning framework, we use data from a variety of short (treasury bills) and long term interest rates (bonds) for the period from 1976:Q3 to 2011:Q4...