https://scholars.lib.ntu.edu.tw/handle/123456789/459353
Title: | Testing the predictive power of the term structure without data snooping bias | Authors: | Kao, Y.-C. Kuan, C.-M. SHIKUAN CHEN |
Keywords: | Data snooping; GDP growth; Stepwise SPA test; Term spread | Issue Date: | 2013 | Journal Volume: | 121 | Journal Issue: | 3 | Start page/Pages: | 546-549 | Source: | Economics Letters | Abstract: | It is well documented that the term structure of interest rates has predictive power for real economic growth. Applying the stepwise superior predictive ability test, we find that superior models contain both a short-term rate and a term spread. © 2013 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/459353 | DOI: | 10.1016/j.econlet.2013.10.020 |
Appears in Collections: | 國際企業學系 |
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