How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

Junko Koeda
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Junko Koeda: Faculty of Economics, University of Tokyo

No CARF-F-237, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This note analyzes the yield-curve predictability for GDP growth by modifying the time-series property of the interest rate process in Ang, Piazzesi, and Wei (2006). When interest rates have a unit root and term spreads are stationary, the short rate's forecasting role changes, and the combined information from the short rate and term spread intuitively reveals the relationship between the shift of yield curves and GDP growth.

Pages: 19 pages
Date: 2010-11, Revised 2011-01
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: How does yield curve predict GDP growth? A macro-finance approach revisited (2012)
Working Paper: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited (2011)
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