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Liquidity, Uncertainty, and the Declining Predictive Power of the Paper-Bill Spread

Author

Listed:
  • J. Peter Ferderer

    (The Jerome Levy Economics Institute)

  • Stephen C. Vogt

    (The Jerome Levy Economics Institute)

  • Ravi Chalil

    (The Jerome Levy Economics Institute)

Abstract

The 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.

Suggested Citation

  • J. Peter Ferderer & Stephen C. Vogt & Ravi Chalil, 1999. "Liquidity, Uncertainty, and the Declining Predictive Power of the Paper-Bill Spread," Macroeconomics 9904007, EconWPA.
  • Handle: RePEc:wpa:wuwpma:9904007
    Note: Type of Document - Acrobat PDF; prepared on IBM PC; to print on PostScript; pages: 58; figures: included
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    JEL classification:

    • E - Macroeconomics and Monetary Economics

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