The Term STructure of Interest Rates in a Simple Stochastic Growth Model: Evidence from Australian Data

This paper presents a theoretical link between the yield curve and future economic growth in a simple stochastic growth model. The derived relationship implies that, in a simple competitive production economy, the slope of the yield curve predicts future output growth. This predictive content of the yield curve is tested using Australian data by employing a vector autoregression (VAR) method.

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Year of publication:	1998
Authors:	Kim, D.
Institutions:	School of Economics, Faculty of Arts and Social Sciences
Subject:	ECONOMIC GROWTH \| AUSTRALIA \| INTEREST RATE

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Series:	Sydney - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	O41 - One, Two, and Multisector Growth Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005618924