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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)

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/pdf/10.1162/rest.90.1.182
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Bibliographic Info

Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 90 (2008)
Issue (Month): 1 (February)
Pages: 182-185

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Handle: RePEc:tpr:restat:v:90:y:2008:i:1:p:182-185

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Web page: http://mitpress.mit.edu/journals/

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Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535

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Cited by:
  1. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 419-440.
  2. Kao, Yi-Cheng & Kuan, Chung-Ming & Chen, Shikuan, 2013. "Testing the predictive power of the term structure without data snooping bias," Economics Letters, Elsevier, vol. 121(3), pages 546-549.
  3. De Santis, Roberto A., 2012. "Quantity theory is alive: the role of international portfolio shifts," Working Paper Series 1435, European Central Bank.

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