| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10672 |
| 来源ID | Working Paper 10672 |
| What Does the Yield Curve Tell us about GDP Growth? | |
| Andrew Ang; Monika Piazzesi; Min Wei | |
| 发表日期 | 2004-08-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w10672 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568304 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Monika Piazzesi,Min Wei. What Does the Yield Curve Tell us about GDP Growth?. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10672.pdf（635KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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