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On the predictive power of the term structure during the 1930s

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  • Adam Klug
  • Carmel Nadav

Abstract

This paper investigates the predictive power of the interest rates during the period 1929-1940 in the United States. Our empirical evidence finds no support for the one-to-one relationship between the term structure of short-term interest rates and inflation for forecasting horizons of six months less or greater than one year. The hypothesis is not rejected for a 3 to 12 month horizon or for the 12 to 24 month horizon with a structural break.

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  • Adam Klug & Carmel Nadav, 1999. "On the predictive power of the term structure during the 1930s," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 577-580.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:9:p:577-580
    DOI: 10.1080/135048599352637
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    References listed on IDEAS

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    1. Telatar, Erdinc & Telatar, Funda & Ratti, Ronald A., 2003. "On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 25(9), pages 931-946, December.

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