This paper investigates the growth predictive properties of theexpectation-related and term premium components of the US term spread. Resultssuggest that although the predictive power of two components has greater predictivepower compared to the simple spread, it has a time-varying nature. Theexpectations-related term is positive and statistically significant up to the end of the80s becoming insignificant afterwards. The term-premium estimates are positive andsignificant for a brief period in the 70s, turn insignificant after the 80s, except inshort intervals at the beginning of the 90s and the 2000s, when they turn negative.
|Numero di pagine||8|
|Rivista||THE EMPIRICAL ECONOMICS LETTERS|
|Stato di pubblicazione||Published - 2009|