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la CapacitÓ Previsiva della Struttura per Scadenza dei Tassi d'Interesse Italiani in Relazione alla Crescita Economica Real

(The ability of the Italian Term Structure to Forecast Real Economic Growth)

Serie Economica, 1990, CRF Gruppo IMI

Campbell R. Harvey, Sidhartha Kaul and Chris M. Kirby

Interest rates contain expectations of future economic growth. This paper proposes a simple model that extracts GDP forecasts from the interest rate structure in Italy. The financial model uses only one variable - the difference between long term and short term interest rates. This type of forecasting model may be particularly valuable given that the major changes in the European economy render the application of traditional structural models questionable.