The yield curve as a predictor of real output and inflation: evidence from emerging markets

Simple item page
dc.contributor.authorKobo, Sylvester Bokganetswe
dc.date.accessioned2017-09-18T09:43:28Z
dc.date.available2017-09-18T09:43:28Z
dc.date.issued2017
dc.descriptionThesis submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand February 2017en_ZA
dc.description.abstractFor developed economies, it has been shown that the slope of the yield curve is a good indicator of the future path of real output and inflation. This paper investigates the predictive abilities of the yield curve slope for domestic growth and inflation in emerging market economies. Given the sovereign risk premia in these economies, it also assesses whether adding the sovereign risk spread to the yield curve spread improves the predictive content of the yield curve. It finds that the yield curve can predict real output at both the short and long forecasting horizons in emerging economies, the extent of which differs across countries. It also finds that the predictive performance for inflation is weaker than that of output growth, especially in the shorter forecasting horizons, and that the sovereign risk spread has additional predictive content for growth and inflation. This suggests that market participants and monetary policy makers in these economies should supplement their forecasting models with information contained in the yield curve to forecast domestic growth and inflation.en_ZA
dc.description.librarianMT2017en_ZA
dc.format.extentOnline resource (35 leaves)
dc.identifier.citationKobo, Sylvester Bokganetswe (2017) The yield curve as a predictor of real output and inflation: evidence from emerging markets, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/23099>
dc.identifier.urihttp://hdl.handle.net/10539/23099
dc.language.isoenen_ZA
dc.subject.lcshInflation (Finance)
dc.subject.lcshInterest rates--Econometric models
dc.subject.lcshMacroeconomics
dc.titleThe yield curve as a predictor of real output and inflation: evidence from emerging marketsen_ZA
dc.typeThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
The Yield Curve as a Predictor of Real Output and Inflation_Evidence from Emerging Economies final.pdf
Size:
1.03 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
ETD Collection