Liquidity, Uncertainty, and the Declining Predictive Power of the Paper-Bill Spread
AbstractThe spread between the yields on six-month commercial paper and six- month Treasury bills (the paper-bill spread) has been shown to be a good predictor of macroeconomic variables such as GDP and real income, at least through the mid-1980s. In this working paper, Ferderer, Vogt, and Chahil explore reasons why this variable yielded such predictive power in the past and evidence of why its predictive power has waned.
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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 9904007.
Length: 58 pages
Date of creation: 15 Apr 1999
Date of revision:
Note: Type of Document - Acrobat PDF; prepared on IBM PC; to print on PostScript; pages: 58; figures: included
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