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Case questions for Yield Curve and Growth Forecasts -

1. Discuss the determinants of interest rates.

2. Describe the prominent theories of yield curve and shapes of yield curve.

3. Discuss the empirical evidence whether and how slop of yield curve predicts economicgrowth. (What type of securities? What matters most? The level of term spread, change of term spread, or short term rates?

4. Replicate the Table IV in Estrella and Hardouvelis (1991).

5. Discuss the current U.S. yield curve and its implication on growth forecasts.

6. Predict the shape of yield curve in one year and economic growth in two years.

Reference:

https://www.newyorkfed.org/research/capital_markets/ycfaq.html

https://www.newyorkfed.org/research/current_issues/ci12-5.html

https://www.newyorkfed.org/medialibrary/media/research/capital_markets/Prob_Rec.pdf

https://www.newyorkfed.org/research/current_issues/ci12-5.html

Arturo Estrella and Gikas A. Hardouvelis, 1991, The Term Structure as a Predictor of Real Economic Activity Journal of FinanceVol. 46, pp. 555-576.

Ang, Andrew, Monika Piazzesi and Min Wei, 2006, Whatdoestheyieldcurvetell us aboutGDP growth?" Journal of Econometrics131, pp. 359-403.

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