What does the yield curve tell us about GDP growth?
By: Andrew Ang, Monika Piazessi, Min Wei.
Contributors: Piazzesi, Monika.; Wei, Min.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10672; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10672.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Stock -- Prices -- Econometric models.; Gross domestic product -- Econometric models.
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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.