Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks

Katsuhiro Sugita ()
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Katsuhiro Sugita: Faculty of Law and Letters, University of the Ryukyus

Economics Bulletin, 2015, vol. 35, issue 3, 1867-1873

Abstract: In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. We find strong evidence of three structural breaks using the US data.

Keywords: Bayesian analysis; structural break; Vector autoregressive model; yield curve (search for similar items in EconPapers)
JEL-codes: C4 E4 (search for similar items in EconPapers)
Date: 2015-09-02
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