Date of Award
2021
Document Type
Honors Thesis (Open Access)
Department
Colby College. Economics Dept.
Advisor(s)
David Findlay
Second Advisor
Rob Lester
Abstract
Previous research has confirmed a positive relationship between the slope of the yield spread and future economic growth. Since the start of the Great Recession, a number of developed economies have hit the zero lower bound and adopted unconventional monetary policies such as large-scale bond/asset purchase programs and negative interest rate policies. This paper finds that the yield spread’s predictive power generally deteriorates after the central bank adopts its first bond purchase program. However, there is no general pattern of how these unconventional monetary policies impact the yield spread’s forecasting ability across countries.
Keywords
Monetary policy, Yield spread, Negative Interest Rate Policy, Unconventional monetary policy
Recommended Citation
Yang, Luying, "The Predictive Power of the Term Structure Under Unconventional Monetary Policies" (2021). Honors Theses. Paper 1334.https://digitalcommons.colby.edu/honorstheses/1334