Testing the predictive power of term spread in the Euro area

Testing the predictive power of term spread in the Euro area

This thesis tests the predictive power of term spread in predicting the Euro area's real economic activities. The objectives of this study are to test the predictive power of term spread in the negative interest rate period in the Euro area, to examine the joint predictive power of term spread...

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Bibliographic Details
Main Author: Rimal, Sachindra
Other Authors: Jyväskylä University School of Business and Economics, Jyväskylän yliopiston kauppakorkeakoulu, Taloustieteet, Business and Economics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2021
Subjects:
term spread
Yield curve
predicting
real economic activity
real economy
VAR model
Granger Causality
Taloustiede
Economics
2041
bruttokansantuote
lineaariset mallit
ennusteet
gross domestic product
linear models
forecasts
Online Access: https://jyx.jyu.fi/handle/123456789/73997

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