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