haku: @journal_id 801 / yhteensä: 106
viite: 104 / 106
| Tekijä: | Hu, Z. |
| Otsikko: | The yield curve and real activity |
| Lehti: | Staff Papers
1993 : DEC, VOL. 40:4, p. 781-806 |
| Asiasana: | MODELS GROWTH FORECASTING |
| Kieli: | eng |
| Tiivistelmä: | This paper attempts to formalize the link between the yield curve and real economic activity. A closed-form formula for the term structure of interest rates is derived. The paper then documents the use of bond market data for predicting GDP growth in the G-7 countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of -sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. |
SCIMA