Department of Economics and Business Economics

GDP growth and the yield curvature

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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.
Original languageEnglish
JournalFinance Research Letters
Pages (from-to)1-7
Number of pages7
ISSN1544-6123
DOIs
Publication statusPublished - 2014

Bibliographical note

Campus adgang til artiklen / Campus access to the article

    Research areas

  • Term structure, Economic growth, In-sample, Out-of-sample, Tent-shaped yield curve factor

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