Logo
Munich Personal RePEc Archive

When does the yield curve contain predictive power? Evidence from a data-rich environment

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

[thumbnail of MPRA_paper_70489.pdf]
Preview
PDF
MPRA_paper_70489.pdf

Download (447kB) | Preview

Abstract

This paper analyzes the predictive content of the level, slope and curvature of the yield curve for U.S. real activity in a data-rich 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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.