Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153236 
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper No. 802
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We use Bayesian time-varying parameters VARs with stochastic volatility to investigate changes in the marginal predictive content of the yield spread for output growth in the United States and the United Kingdom, since the Gold Standard era, and in the Eurozone, Canada, and Australia over the post-WWII period. Overall, our evidence does not provide much support for either of the two dominant explanations why the yield spread may contain predictive power for output growth, the monetary policy-based one, and Harvey’s (1988) ‘real yield curve’ one. Instead, we offer a new conjecture.
Subjects: 
Bayesian VARs
medianunbiased
stochastic volatility
time-varying parameters
JEL: 
E42
E43
E47
Document Type: 
Working Paper

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