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.