文章基本信息

标题：Sometimes it helps: the evolving predictive power of spreads on GDP dynamics
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作者：Giulio Nicoletti ; Raffaele Passaro
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：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.
关键词：GDP forecasting; Bayesian Econometrics; Model Averaging.