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- W2340276670 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, while the slope contains predictive power, 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 the output growth better when inflation is highly persistent." @default.
- W2340276670 created "2016-06-24" @default.
- W2340276670 creator A5057747902 @default.
- W2340276670 date "2017-10-01" @default.
- W2340276670 modified "2023-10-18" @default.
- W2340276670 title "When does the yield curve contain predictive power? Evidence from a data-rich environment" @default.
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- W2340276670 doi "https://doi.org/10.1016/j.ijforecast.2017.05.006" @default.
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