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The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997

  • Michael Bordo
  • Joseph Haubrich

Most work showing the yield curve predicts future economic growth relies on post WWII data. We demonstrate that the yield curve has predictive content for most of the post Civil War period. This predictive ability, however, is closely related to the credibility of the monetary regime in place, something we measure by the persistence of inflation

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Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 165.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:165
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  19. Sharon Kozicki, 1997. "Predicting real growth and inflation with the yield spread," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 39-57.
  20. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA.
  21. Timothy Cogley & Thomas J. Sargent, 2002. "Evolving Post-World War II U.S. Inflation Dynamics," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 331-388 National Bureau of Economic Research, Inc.
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