“…Forecasting the whole distribution rather than merely its centre is better aligned with the original proposition by Granger (1969), who defines causality in terms of conditional distributions of variables, rather than its subsequent implementations which focus almost exclusively on conditional means. Predicting quantiles of the future distribution has been already shown to be largely successful for stock returns, and in particular, helping improve forecasts of the future centre of return distribution by utilising predictions of off-the-centre future returns (Cenesizoglou and Timmermann, 2008, Ma and Pohlman, 2008, Zhu, 2013, Meligkotsidou et al, 2014, Pedersen, 2015. Therefore, we expect that the ability to predict the shape of the future distribution of economic growth using yield spread values would improve our knowledge about the future growth, and potentially our estimates of future expected growth rates.…”