TY  - JOUR
AB  - Purpose– The purpose of this paper is to examine the usefulness of the yield spread for forecasting growth in the Australian economy since 1969. Design/methodology/approach– This paper applies time series analysis to evaluate the in-sample and out-of-sample forecasting power of the spread-growth nexus in Australia for the period spanning from 1969 to 2014. Findings– This paper concludes that the spread serves as a useful predictor of growth in output, private dwellings, private fixed capital formation, and inventories in Australia, both in-sample and out-of-sample. Its predictive content is not sensitive to the inclusion of monetary policy variables or the switch to the inflation-targeting regime by the Reserve Bank of Australia in the early 1990s. Originality/value– This paper provides significant evidence to policy makers and market participants on the usefulness of the spread in forecasting output growth for up to eight quarters ahead.
VL  - 43
IS  - 2
SN  - 0144-3585
DO  - 10.1108/JES-09-2014-0159
UR  - https://doi.org/10.1108/JES-09-2014-0159
AU  - Chen George
AU  - Valadkhani Abbas
AU  - Grant Bligh
PY  - 2016
Y1  - 2016/01/01
TI  - How useful is the yield spread as a predictor of growth in Australia?
T2  - Journal of Economic Studies
PB  - Emerald Group Publishing Limited
SP  - 222
EP  - 241
Y2  - 2024/04/25
ER  -