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
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Working Paper: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited (2011)
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DOI: 10.1080/13504851.2011.608632

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