Hännikäinen, Jari (2016): When does the yield curve contain predictive power? Evidence from a datarich environment.

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Abstract
This paper analyzes the predictive content of the level, slope and curvature of the yield curve for U.S. real activity in a datarich environment. We find that the slope contains predictive power, but the level and curvature are not successful leading indicators. The predictive power of each of the yield curve factors fluctuates over time. The results show that economic conditions matter for the predictive ability of the slope. In particular, inflation persistence emerges as a key variable that affects the predictive content of the slope. The slope tends to forecast output growth better when inflation is highly persistent.
Item Type:  MPRA Paper 

Original Title:  When does the yield curve contain predictive power? Evidence from a datarich environment 
Language:  English 
Keywords:  yield curve; factor model; datarich environment; forecasting; macroeconomic regimes; conditional predictive ability 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C55  Large Data Sets: Modeling and Analysis E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E43  Interest Rates: Determination, Term Structure, and Effects E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E44  Financial Markets and the Macroeconomy E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E47  Forecasting and Simulation: Models and Applications E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E52  Monetary Policy 
Item ID:  70489 
Depositing User:  Dr. Jari Hännikäinen 
Date Deposited:  06 Apr 2016 05:01 
Last Modified:  27 Sep 2019 09:21 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/70489 