E43

Determination of Interest Rates; Term Structure of Interest Rates

GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries

JEL codes: 
C53, E43, E44, E52
Version Date: 
Aug 2010
Author/s: 
Abstract: 

Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q1.

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GDP Growth Predictions through the Yield Spread. Time-Variation and Structural Breaks

JEL codes: 
C22, C32, C53, E37, E43, E47
Version Date: 
Feb 2011
Author/s: 
Abstract: 

We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010.

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What does a financial system say about future economic growth?

JEL codes: 
E43, E44, G12
Version Date: 
Dec 2008
Author/s: 
Abstract: 

In many research studies it is argued that it is possible to extract useful information about future economic growth from the performance of financial markets.

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