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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| Format: | Proceeding Paper |
| Language: | English English |
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2017
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| 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 |
| _version_ | 1848786142990696448 |
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| author | Rahman, Maya Puspa |
| author_facet | Rahman, Maya Puspa |
| author_sort | Rahman, Maya Puspa |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T17:04:21Z |
| format | Proceeding Paper |
| id | iium-64072 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T17:04:21Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 Proceeding Paper 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) |
| 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 |
| title | 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_short | 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 |
| topic | HB3711 Business cycles. Economic fluctuations |
| 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 |