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

Junko Koeda

研究成果: Article

2 引用 (Scopus)

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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.

元の言語English
ページ(範囲)929-933
ページ数5
ジャーナルApplied Economics Letters
19
発行部数10
DOI
出版物ステータスPublished - 2012 7
外部発表Yes

ASJC Scopus subject areas

  • Economics and Econometrics

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