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From bonds to prosperity: echoes of yield spreads on Gdp growth
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Resumo(s)
This finance master's thesis examines the predictive efficacy of the 10-year and 3-month
(10Y3M) and the 10-year and 2-year (10Y2Y) U.S. Treasury bond yield spread in forecasting
Real GDP fluctuations from Q1 1982 to Q2 2022, analyzing quarterly historical data from St.
Louis Federal Reserve Economic Data and Bloomberg for 10Y3M, 10Y2Y, real GDP growth,
and VIX series (1990 Q1 to 2022 Q2). Results suggest that relying solely on spreads for GDP
predictions can be misleading and underscore their limited and inconclusive predictive ability,
emphasizing the need for additional variables, such as the VIX index, to enhance predictive
power.
Descrição
Palavras-chave
Yield spread Yield curve Term structure Economic downturn Vix