What the study found
The study found that yield curve slope and curvature can help predict future economic growth in Central and Eastern European countries and developed countries. It also found that these yield curve factors give only limited and unstable signals for forecasting inflation.
Why the authors say this matters
The authors suggest that the yield curve can contain useful information about future economic activity, especially where monetary policy credibility is lower. They also conclude that the predictive value depends on country conditions, while economic stability does not materially affect forecasting performance.
What the researchers tested
The researchers studied 40 countries from 2010 to 2021, including developed, Central and Eastern European, and emerging markets. They extracted unobservable yield curve factors from sovereign yield curves — the level, slope, and curvature — and used the slope and curvature in panel regressions to predict economic growth and inflation. They also tested out-of-sample forecasting accuracy with panel forecasting techniques and econometric tests.
What worked and what didn't
Slope and curvature showed predictive power for economic growth in Central and Eastern European countries and developed countries. In emerging markets, the yield curve factors were related to expectations about future growth and inflation, but their out-of-sample forecasting performance was limited. For inflation, the yield curve factors provided only limited and unstable forecasting signals.
What to keep in mind
The abstract does not provide detailed limitations beyond noting that forecasting performance was limited in emerging markets and unstable for inflation. The study’s findings are based on country groups over 2010–2021 and on sovereign yield curves.
Key points
- Slope and curvature of the yield curve predicted future economic growth in developed and Central and Eastern European countries.
- Emerging markets showed some relationship between yield curve factors and expectations, but weak out-of-sample forecasting performance.
- Lower monetary policy credibility was associated with stronger predictive relationships for future growth.
- Economic stability did not materially affect forecasting performance.
- Inflation forecasting signals from yield curve factors were limited and unstable.
Disclosure
- Research title:
- Yield curve slope and curvature predict growth in some countries
- Authors:
- Olga Klinkowska, Olha Zadorozhna
- Institutions:
- Kozminski University, Kozminski University
- Publication date:
- 2026-02-23
- OpenAlex record:
- View
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