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

Listed author(s):
  • J. Peter Ferderer

    (The Jerome Levy Economics Institute)

  • Stephen C. Vogt

    (The Jerome Levy Economics Institute)

  • Ravi Chalil

    (The Jerome Levy Economics Institute)

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.

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Paper provided by EconWPA in its series Macroeconomics with number 9904007.

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Length: 58 pages
Date of creation: 15 Apr 1999
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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