![What does the yield curve tell us about GDP growth? [An article from: Journal of Econometrics]](https://www.ebooknetworking.net/books/B00/0RR/bigB000RR7QLM.jpg)
What does the yield curve tell us about GDP growth? [An article from: Journal of Econometrics]
Book Details
Author(s)A. Ang, M. Piazzesi, M. Wei
PublisherElsevier
ISBN / ASINB000RR7QLM
ISBN-13978B000RR7QL1
AvailabilityAvailable for download now
Sales Rank9,181,970
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Journal of Econometrics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The model does not permit arbitrage. Contrary to previous findings, we predict that the short rate has more predictive power than any term spread. We confirm this finding by forecasting GDP out-of-sample. The model also recommends the use of lagged GDP and the longest maturity yield to measure slope. Greater efficiency enables the yield-curve model to produce superior out-of-sample GDP forecasts than unconstrained OLS regressions at all horizons.
Description:
A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The model does not permit arbitrage. Contrary to previous findings, we predict that the short rate has more predictive power than any term spread. We confirm this finding by forecasting GDP out-of-sample. The model also recommends the use of lagged GDP and the longest maturity yield to measure slope. Greater efficiency enables the yield-curve model to produce superior out-of-sample GDP forecasts than unconstrained OLS regressions at all horizons.
