A Note on Yield Spread and Output Growth
Rodrigo Alfaro () and
Working Papers Central Bank of Chile from Central Bank of Chile
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.
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:700
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