GDP growth and the yield curvature

Stig V. Møller

Finance Research Letters, 2014, vol. 11, issue 1, 1-7

Abstract: This paper examines the forecastability of GDP growth using information from the term structure of yields. In contrast to previous studies, the paper shows that the curvature of the yield curve contributes with much more forecasting power than the slope of yield curve. The yield curvature also predicts bond returns, implying a common element to time-variation in expected bond returns and expected GDP growth.

Keywords: Term structure; Economic growth; In-sample; Out-of-sample; Tent-shaped yield curve factor (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 G12 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612313000172
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:1:p:1-7

DOI: 10.1016/j.frl.2013.05.002

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().