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Predicting real growth using the yield curve

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Author Info
Joseph G. Haubrich
Ann M. Dombrosky

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Abstract

A study using out-of-sample regressions to determine how well the 10-year, 3-month yield spread predicts future real GDP growth. The author finds that although the yield curve is a good predictor over the entire 30-year sample period, it has become much less accurate over the last decade.

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File URL: http://clevelandfed.org/Research/Review/1996/96-q1-haubrich.pdf
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Publisher Info
Article provided by Federal Reserve Bank of Cleveland in its journal Economic Review.

Volume (Year): (1996)
Issue (Month): Q I ()
Pages: 26-35
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Handle: RePEc:fip:fedcer:y:1996:i:qi:p:26-35

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Related research
Keywords: Forecasting ; Interest rates;

References listed on IDEAS
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  1. Campbell, John Y, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-52, Summer. [Downloadable!] (restricted)
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  2. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-76, June. [Downloadable!] (restricted)
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  3. Frankel, Jeffrey A & Lown, Cara S, 1994. "An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve along Its Entire Length," The Quarterly Journal of Economics, MIT Press, vol. 109(2), pages 517-30, May. [Downloadable!] (restricted)
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This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.
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This page was last updated on 2009-10-13.


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