GDP; Probit; Forecasting; Yield Curve

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

JEL codes: 
C53, E43, E44, E52
Version Date: 
Aug 2010

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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