 When does the yield curve contain predictive power? Evidence from a data-rich environmentInternational Journal of Forecasting, 2017, vol. 33, issue 4, 1044-1064 Abstract: This paper analyzes the predictive content of the level, slope and curvature of the yield curve for U.S. real activity in a data-rich environment. We find that, while the slope contains predictive power, the level and curvature are not successful leading indicators. The predictive power of each of the yield curve factors fluctuates over time. The results show that economic conditions matter for the predictive ability of the slope. In particular, inflation persistence emerges as a key variable that affects the predictive content of the slope. The slope tends to forecast the output growth better when inflation is highly persistent. Keywords: Yield curve; Factor model; Data-rich environment; Macroeconomic forecasting; Macroeconomic regimes; Conditional predictive ability (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:33:y:2017:i:4:p:1044-1064 DOI: 10.1016/j.ijforecast.2017.05.006 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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