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Can I read What does the yield curve tell us about GDP growth? on EtoBox?
What does the yield curve tell us about GDP growth? by Andrew Ang; Monika Piazzesi; Min Wei is a Economics, Econometrics and Finance article available to read on EtoBox.
What is What does the yield curve tell us about GDP growth? about?
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.
Who reads What does the yield curve tell us about GDP growth??
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Andrew Ang; Monika Piazzesi; Min Wei
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4076)
- Published
- 2006
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)