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The Yield Curve as a Predictor of Growth: Long-Run Evidence, 1875-1997

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Author Info
Michael D. Bordo (Rutgers University and NBER)
Joseph G. Haubrich (Federal Reserve Bank of Cleveland)

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Abstract

This paper brings historical evidence to bear on the stylized fact that the yield curve predicts future growth. The spread between corporate bonds and commercial paper reliably predicts future growth over the period 1875-1997. This predictability varies over time, however, and has been strongest in the post-World War II period. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

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File URL: http://www.mitpressjournals.org/doi/pdfplus/10.1162/rest.90.1.182
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Publisher Info
Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 90 (2008)
Issue (Month): 1 (November)
Pages: 182-185
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Handle: RePEc:tpr:restat:v:90:y:2008:i:1:p:182-185

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This page was last updated on 2009-1-2.

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