structural breaks

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

JEL codes: 
C22, C32, C53, E37, E43, E47
Keywords: 
real-time data, structural breaks, Term Spread, TVP Models
Version Date: 
Feb 2011
Author/s: 
Pierangelo De Pace
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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Granger Causality of the Inflation-Growth Mirror in Accession Countries

JEL codes: 
C22, E31, O42
Keywords: 
Granger causality, growth, inflation, structural breaks, transition, VAR, velocity
Version Date: 
Dec 2004
Author/s: 
Anton Nakov, Max Gillman
Abstract: 

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate decrease.

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