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A Note on Yield Spread and Output Growth

Rodrigo Alfaro () and Damián Romero

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this paper we compute the impact of the yield spread on output growth, based on a standard DSGE model. As it is supported by empirical literature, we found that yield spread can be used only to forecast output growth for short-term horizons (less than 2 years). Moreover, the size of that impact obtained from calibration of the model is consistent with previous empirical results.

Date: 2013-07
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