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A re-examination of the predictability of economic activity using the yield spread

Author: James D Hamilton; Tong-hŏn Kim; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©2000.
Series: Working paper series (National Bureau of Economic Research), working paper no. 7954.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium. We find that both factors are relevant for predicting real GDP growth but the respective contributions differ. We investigate whether the cyclical behavior of  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: James D Hamilton; Tong-hŏn Kim; National Bureau of Economic Research.
OCLC Number: 70123808
Notes: "October 2000."
Description: 1 online resource (26, [10] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 7954.
Other Titles: Predictability of economic activity using the yield spread
Responsibility: James D. Hamilton, Dong Heon Kim.

Abstract:

Abstract: This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium. We find that both factors are relevant for predicting real GDP growth but the respective contributions differ. We investigate whether the cyclical behavior of interest rate volatility could account for either or both effects. We find that while volatility displays important correlations with both the term structure of interest rates and GDP, it does not appear to account for the yield spread's usefulness for predicting GDP growth.

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