In light of the method created by Estrella and Hardouvelis, this paper checks the ability of the short and long term yield spread to forecast macroeconomic growth. The results show that the yield spread has a significant predictive power for the changes of macroeconomic growth in the next 15 months and 1517 months. Further more, for studying the critical factors influencing the yield spread forecasting capabilities, we use VAR model to obtain the shocks of monetary policy, then descompose the yield spread into the shocks of monetary policy and nonmonetary policy. The results show that the forecasting capability of the yield spread is mainly affected by the impact of monetary policy factors in short term, while it is mainly affected by the impact of a nonmonetary policy factor in medium term. Empirical Evidence shows that the monetary authorities could formulate some targeted monetary policies to affect the yield spread of national bonds, and these policies also implement an impact on shortterm macroeconomic growth indirectly. As for the financial market players, they can predict the shortterm economic growth trends by observing the effects of changes in monetary policy for the yield spread of national bonds. The results show that the monetary authorities should pay attention to managing inflation expectations, and make the term structure of interest rates as an important tool in the management of monetary policy expectations.

short and long term spreads of treasury bonds; macroeconomic climate index; impact of monetary policy; economic growth; expectation management