TY - JOUR
T1 - How does yield curve predict GDP growth? a macro-finance approach revisited
AU - Koeda, Junko
N1 - Funding Information:
I thank the seminar participants at the Bank of Japan, Keio University and the University of Tokyo for their useful discussions. I acknowledge the funding from the Nomura Foundation for Academic Promotion.
PY - 2012/7
Y1 - 2012/7
N2 - 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 et al. (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.
AB - 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 et al. (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.
KW - Estimation
KW - GDP growth
KW - Unit root
KW - Yield curve
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U2 - 10.1080/13504851.2011.608632
DO - 10.1080/13504851.2011.608632
M3 - Article
AN - SCOPUS:80053203044
VL - 19
SP - 929
EP - 933
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 10
ER -