Date of Award
Honors Thesis (Open Access)
Colby College. Economics Dept.
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.
Monetary policy, Yield spread, Negative Interest Rate Policy, Unconventional monetary policy
Recommended CitationYang, Luying, "The Predictive Power of the Term Structure Under Unconventional Monetary Policies" (2021). Honors Theses. Paper 1334.
Available for download on Monday, July 10, 2023