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

Junko Koeda

doi:10.1080/13504851.2011.608632

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

Junko Koeda

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	929-933
Number of pages	5
Journal	Applied Economics Letters
Volume	19
Issue number	10
DOIs	https://doi.org/10.1080/13504851.2011.608632
Publication status	Published - 2012 Jul
Externally published	Yes

Keywords

Estimation
GDP growth
Unit root
Yield curve

ASJC Scopus subject areas

Economics and Econometrics

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