Predicting real growth using the yield curve
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.
Volume (Year): (1996)
Issue (Month): Q I ()
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- Jeffrey A. Frankel & Cara S. Lown, 1991.
"An Indicator of Future Inflation Extracted From the Steepness of the Interest Rate Yield Curve Along Its Entire Length,"
NBER Working Papers
3751, National Bureau of Economic Research, Inc.
- 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.
- Jeffrey A. Frankel & Cara S. Lown, 1991. "An indicator of future inflation extracted from the steepness of the interest rate yield curve along its entire length," Research Paper 9122, Federal Reserve Bank of New York.
- John Y. Campbell, 1995.
"Some Lessons from the Yield Curve,"
Journal of Economic Perspectives,
American Economic Association, vol. 9(3), pages 129-152, Summer.
- John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Harvard Institute of Economic Research Working Papers 1713, Harvard - Institute of Economic Research.
- John Y. Campbell, 1995. "Some Lessons from the Yield Curve," NBER Working Papers 5031, National Bureau of Economic Research, Inc.
- Campbell, John, 1995. "Some Lessons from the Yield Curve," Scholarly Articles 3163264, Harvard University Department of Economics.
- 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.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
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