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The term spread and GDP growth in Australia

Citation

Poke, J and Wells, GM, The term spread and GDP growth in Australia, Economic Record, 85, (269) pp. 121-131. ISSN 0013-0249 (2009) [Refereed Article]


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Copyright Statement

The definitive published version is available online at: http://www.interscience.wiley.com

Official URL: http://www.interscience.wiley.com

DOI: doi:10.1111/j.1475-4932.2009.00546.x

Abstract

This article analyses the significance of the spread between short- and long-term interest rates for predicting GDP growth in Australia, and whether the predictive relation deteriorates, as theory suggests, with the adoption of a credible inflation-targeting regime. We test whether the significance of the term spread is sensitive to the inclusion of other conditioning variables which may be useful in forecasting GDP growth, and whether forecasting significance is due primarily to the expected change in short-term interest rates, the term premium, or a combination of the two. There is some support for the proposition that the rationally-expected term spread has become less significant with the adoption of inflation targeting.

Item Details

Item Type:Refereed Article
Keywords:E32 E43 E47 E52
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Financial Econometrics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Economic Growth
Author:Wells, GM (Associate Professor Graeme Wells)
ID Code:57083
Year Published:2009
Web of Science® Times Cited:3
Deposited By:Economics and Finance
Deposited On:2009-06-16
Last Modified:2014-12-20
Downloads:0

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