EconPapers    
Economics at your fingertips  
 

How does yield curve predict GDP growth? A macro-finance approach revisited

Junko Koeda

Applied Economics Letters, 2012, vol. 19, issue 10, 929-933

Abstract: This article analyses the yield-curve predictability for Gross Domestic Product (GDP) growth by modifying the time-series property of the interest rate process in Ang et al. (2006). When interest rates have a unit root and term spreads are stationary, the short rate's forecasting role changes, and the relationship between the shift of yield curves and GDP growth is intuitively revealed.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2011.608632 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited (2011) Downloads
Working Paper: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited (2011) Downloads
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:taf:apeclt:v:19:y:2012:i:10:p:929-933

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2011.608632

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2020-10-15
Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:929-933