GDP growth and the yield curvature

This paper examines the forecastability of GDP growth using information from the term structure of yields. In contrast to previous studies, the paper shows that the curvature of the yield curve contributes with much more forecasting power than the slope of yield curve. The yield curvature also predicts bond returns, implying a common element to time-variation in expected bond returns and expected GDP growth.

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Year of publication:	2014
Authors:	Møller, Stig V.
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 1, p. 1-7
Publisher:	Elsevier
Subject:	Term structure \| Economic growth \| In-sample \| Out-of-sample \| Tent-shaped yield curve factor

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Type of publication:	Article
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065837