GDP growth and the yield curvature

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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.
OriginalsprogEngelsk
TidsskriftFinance Research Letters
Sider (fra-til)1-7
Antal sider7
ISSN1544-6123
DOI
StatusUdgivet - 2014

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