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Assessing predictability of the tendencies in economic activity using the yield curve

Fedorenko, Ulyana; Molodyk, Diana
Master thesis
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URI
http://hdl.handle.net/11250/2476911
Date
2017
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  • Master of Science [1116]
Abstract
We study the power of the yield curve to predict changes in economic activity in

countries at different stages of economic development. Using the yield spread, we

assess the relationship between the slope of the yield curve and cumulative and

marginal real GDP growth in highly developed (U.S., Norway) and emerging

(Russia, Ukraine) countries. Within- and out-of-sample models are constructed to

evaluate the explanatory and predictive power of this relation respectively. We find

the overall significance of the yield spread in explaining subsequent economic

growth across all the countries contingent on a specific time horizon. The results of

forecasts evaluation for the U.S., Norway and Russia demonstrate the rationality of

using the yield spread models in highly developed countries as opposed to emerging

ones where naïve autoregressive models are preferred. The thesis highlights the

potential of further investigation in the post-soviet region.
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Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017

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