Predicting Output Growth and Inflation in Pakistan: The Role of Yield Spread

Fida Hussain () and Asif Mahmood
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Fida Hussain: State Bank of Pakistan

SBP Research Bulletin, 2017, vol. 13, 53-76

Abstract: This paper presents empirical evidence on the role of yield spread in predicting inflation and output growth in Pakistan. We also test the role of foreign interest rates in predicting inflation and output growth. Our results indicate that the yield spread in Pakistan does contain information to help predict output growth in the country. However, yield spread has no predictive content for inflation. Our results, for output growth as well as inflation, are consistent with findings of other studies for the case of emerging market economies.

Keywords: Yield Curve; Inflation; Output; Forecasting (search for similar items in EconPapers)
JEL-codes: C53 E31 E43 O47 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sbp:journl:69

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