Arbeitspapier
Sometimes it helps: the evolving predictive power of spreads on GDP dynamics
We investigate the predictive content of credit and government interest spreads with respect to the Italian GDP growth. Our analysis with Dynamic Model Averaging identifies when interest spreads were more useful predictors of economic activity: these periods are not limited to the Great Recession. For credit spreads we gather information from both bank loans and corporate bonds and we compare their predictive role over time and over different forecasting horizons.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 1447
- Classification
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Wirtschaft
Model Evaluation, Validation, and Selection
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
-
Bayesian econometrics
GDP forecasting
model averaging
- Event
-
Geistige Schöpfung
- (who)
-
Nicoletti, Giulio
Passaro, Raffaele
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Nicoletti, Giulio
- Passaro, Raffaele
- European Central Bank (ECB)
Time of origin
- 2012
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