Economic and financial forecasts through spreads

This thesis tests the empirical stylized fact, that the yield curve is a significant predictor of future business conditions and asset returns. The yield spreads are at some periods able to forecast output levels. There are, however, some periods at which they display opposite movements. Even though the yield curve is not a reliant indicator for future outcome levels, it is still able to predict recessions and strong economic slowdowns beforehand. There are signs, that, contrary to previous literature, the credit spread is not a significant predictor for future market returns anymore. Nevertheless, the data sample was not adequate to prove this entirely.Mauricio Andrés PraxmarerUniversität Innsbruck, Diplomarbeit, 2019(VLID)380714