*SCOPUS*

*학술저널*

#
*Has the Predictability of the Yield Spread Changed?*

- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 31 No.4
- : SCOPUS, KCI등재
- 2018.11
- 449 - 463 (15 pages)

This paper examines the stability of the predictive power of the yield spread for future GDP growth. We find that the ability of the spread to predict future GDP growth has weakened since 1984:Q1. Given the decomposition of the yield spread into the expectation component and the term premium component, we investigate the change in the predictability of both components and find that the term premium component appears to have lost the predictive power significantly while the predictive power of the expectation component has remained. We conjecture that since the 1984:Q1, the cyclical movement of the term premium seems to have been reduced due to the significant reduction in the volatility of US macroeconomy.

I. Introduction

II. Structural Break Test

III. Decomposition of the Yield Spread

IV. Concluding Remarks

References