Author(s) |
Chen, George
Valadkhani, Abbas
Grant, Bligh
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Publication Date |
2016
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Abstract |
Purpose - The purpose of this paper is to examine the usefulness of the yield spread for forecasting growth in the Australian economy since 1969. Design/methodology/approach - This paper applies time series analysis to evaluate the in-sample and out-of-sample forecasting power of the spread-growth nexus in Australia for the period spanning from 1969 to 2014. Findings - This paper concludes that the spread serves as a useful predictor of growth in output, private dwellings, private fixed capital formation, and inventories in Australia, both in-sample and out-of-sample. Its predictive content is not sensitive to the inclusion of monetary policy variables or the switch to the inflation-targeting regime by the Reserve Bank of Australia in the early 1990s. Originality/value - This paper provides significant evidence to policy makers and market participants on the usefulness of the spread in forecasting output growth for up to eight quarters ahead.
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Citation |
Journal of Economic Studies, 43(2), p. 222-241
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ISSN |
1758-7387
0144-3585
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Link | |
Publisher |
Emerald Publishing Limited
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Title |
How useful is the yield spread as a predictor of growth in Australia?
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Type of document |
Journal Article
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Entity Type |
Publication
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