Testing the predictive power of the term structure without data snooping bias

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 121
Issue: 3
Pages: 546-549

Authors (3)

Kao, Yi-Cheng (not in RePEc) Kuan, Chung-Ming (National Taiwan University) Chen, Shikuan (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:121:y:2013:i:3:p:546-549
Journal Field
General
Author Count
3
Added to Database
2026-01-25