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 language | English |
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Pages (from-to) | 929-933 |
Number of pages | 5 |
Journal | Applied Economics Letters |
Volume | 19 |
Issue number | 10 |
DOIs | |
Publication status | Published - 2012 Jul |
Externally published | Yes |
Keywords
- Estimation
- GDP growth
- Unit root
- Yield curve
ASJC Scopus subject areas
- Economics and Econometrics