Term Structure Forecasts of Long-Term Consumption Growth
基于一个简单的期限结构一般均衡模型，将实际消费增长率表示为名义收益率的函数，并用1985-2000年的数据验证该模型比基于期限利差的回归模型更准确地预测实际消费增长率。
Abstract Relying on a simple general equilibrium model of the term structure, we show that both nominal yields and real consumption growth rates can be affine in the unobservable state variables. We can then express real consumption growth rates in terms of nominal yields rather than the unobservable state variables with the coefficients of the resultant forecasting relation being endogenously determined by the term structure model. Using term structure data over the 1985 to 2000 sample period, the empirical evidence is consistent with our model more accurately predicting real consumption growth rates than a regression model based on the term spread.