Sometimes it helps: the evolving predictive power of spreads on GDP dynamics

Giulio Nicoletti and Raffaele Passaro

No 1447, Working Paper Series from European Central Bank

Abstract: 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. JEL Classification: C52, E37

Keywords: Bayesian econometrics; GDP forecasting; model averaging (search for similar items in EconPapers)
Date: 2012-07
New Economics Papers: this item is included in nep-fdg, nep-for and nep-mac
Note: 1874455
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121447

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