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The Yield Curve, Recessions and the Credibility of the Monetary Regime: Long Run Evidence 1875-1997

  • Michael D. Bordo
  • Joseph G Haubrich

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, particularly across different monetary regimes. In accord with our proposed theory, regimes with low credibility (high persistence of inflation) tend to have better predictability.

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File URL: http://www.nber.org/papers/w10431.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 10431.

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Date of creation: Apr 2004
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Handle: RePEc:nbr:nberwo:10431
Note: DAE ME
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