The yield curve and the stock market: mind the long run
We extract cycles from the term spread and study their role for predicting the equity premium using linear models. When properly extracted, the trend of the term spread is a strong and robust out-of-sample equity premium predictor, both from a statistical and an economic point of view. It outperform...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2020
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| Texto completo: | http://hdl.handle.net/10400.14/29925 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/29925 |