How does yield curve predict GDP growth? a macro-finance approach revisited

Junko Koeda

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)929-933
Number of pages5
JournalApplied Economics Letters
Volume19
Issue number10
DOIs
Publication statusPublished - 2012 Jul
Externally publishedYes

Keywords

  • Estimation
  • GDP growth
  • Unit root
  • Yield curve

ASJC Scopus subject areas

  • Economics and Econometrics

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