An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective

Previous researchers have argued that yield curve contains information for future growth, and to a certain extent, was accurate in predicting recessions through the signal of yield curve inversion. This paper provides new evidence on the long- and short-run relationship between economic growth and y...

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Main Author:	Rahman, Maya Puspa
Format:	Conference or Workshop Item
Language:	English English
Published:	2017
Subjects:	HB3711 Business cycles. Economic fluctuations
Online Access:	http://irep.iium.edu.my/64072/ http://irep.iium.edu.my/64072/19/64072-letter.pdf http://irep.iium.edu.my/64072/3/ICAEP%20UM%20MY_slides.pdf

id	iium-64072
recordtype	eprints
spelling	iium-640722018-06-28T01:02:11Z http://irep.iium.edu.my/64072/ An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective Rahman, Maya Puspa HB3711 Business cycles. Economic fluctuations Previous researchers have argued that yield curve contains information for future growth, and to a certain extent, was accurate in predicting recessions through the signal of yield curve inversion. This paper provides new evidence on the long- and short-run relationship between economic growth and yield spread in Malaysia, based on a 20-year span of data ranging from January 1996 to December 2016. By using the autoregressive distributed lag (ARDL) framework, the sample data is divided into three samples after taking into consideration the two major crisis occurred in Malaysia over the last two decades. We find strong evidence of cointegration between the yield spread and growth, concurring on the long-run and short-run dynamics between them. Though significant, the instability of the yield spread to affect the movement of growth does not support the priori expectation on the predictive ability of the yield curve in Malaysia. 2017 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/64072/19/64072-letter.pdf application/pdf en http://irep.iium.edu.my/64072/3/ICAEP%20UM%20MY_slides.pdf Rahman, Maya Puspa (2017) An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective. In: The International Conference on Applied Economics and Policy (ICAEP) 2017, 21-22 August 2017, Kuala Lumpur. (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HB3711 Business cycles. Economic fluctuations
spellingShingle	HB3711 Business cycles. Economic fluctuations Rahman, Maya Puspa An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective
description	Previous researchers have argued that yield curve contains information for future growth, and to a certain extent, was accurate in predicting recessions through the signal of yield curve inversion. This paper provides new evidence on the long- and short-run relationship between economic growth and yield spread in Malaysia, based on a 20-year span of data ranging from January 1996 to December 2016. By using the autoregressive distributed lag (ARDL) framework, the sample data is divided into three samples after taking into consideration the two major crisis occurred in Malaysia over the last two decades. We find strong evidence of cointegration between the yield spread and growth, concurring on the long-run and short-run dynamics between them. Though significant, the instability of the yield spread to affect the movement of growth does not support the priori expectation on the predictive ability of the yield curve in Malaysia.
format	Conference or Workshop Item
author	Rahman, Maya Puspa
author_facet	Rahman, Maya Puspa
author_sort	Rahman, Maya Puspa
title	An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective
title_short	An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective
title_full	An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective
title_fullStr	An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective
title_full_unstemmed	An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective
title_sort	analysis on the accuracy of the yield curve in predicting the malaysian economy: a 20 years' perspective
publishDate	2017
url	http://irep.iium.edu.my/64072/ http://irep.iium.edu.my/64072/19/64072-letter.pdf http://irep.iium.edu.my/64072/3/ICAEP%20UM%20MY_slides.pdf
first_indexed	2023-09-18T21:30:52Z
last_indexed	2023-09-18T21:30:52Z
_version_	1777412502076784640

An analysis on the accuracy of the yield curve in predicting the Malaysian economy: A 20 years' perspective

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