Stig Vinther Møller

GDP growth and the yield curvature

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GDP growth and the yield curvature. / Møller, Stig Vinther.

I: Finance Research Letters, 2014, s. 1-7.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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Møller, Stig Vinther. / GDP growth and the yield curvature. I: Finance Research Letters. 2014 ; s. 1-7.

Bibtex

@article{a2e235fb6dc0474dbaa14468c7c78a7f,
title = "GDP growth and the yield curvature",
abstract = "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.",
keywords = "Term structure, Economic growth, In-sample, Out-of-sample, Tent-shaped yield curve factor",
author = "M{\o}ller, {Stig Vinther}",
note = "Campus adgang til artiklen / Campus access to the article",
year = "2014",
doi = "10.1016/j.frl.2013.05.002",
language = "English",
pages = "1--7",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Academic Press",

}

RIS

TY - JOUR

T1 - GDP growth and the yield curvature

AU - Møller, Stig Vinther

N1 - Campus adgang til artiklen / Campus access to the article

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Term structure

KW - Economic growth

KW - In-sample

KW - Out-of-sample

KW - Tent-shaped yield curve factor

U2 - 10.1016/j.frl.2013.05.002

DO - 10.1016/j.frl.2013.05.002

M3 - Journal article

SP - 1

EP - 7

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -