The Yield Curve as a Predictor of Growth: Long-Run Evidence, 1875–1997

Michael David Bordo · Joseph Gerard Haubrich

50 citations0/0 files storedThe Review of Economics and Statistics

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

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, and has been strongest in the post–World War II period.

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1994Comparing Predictive Accuracy 1991The Term Structure as a Predictor of Real Economic Activity 1996Asymptotic Inference about Predictive Ability 2001Tests of equal forecast accuracy and encompassing for nested models 2003Forecasting Output and Inflation: The Role of Asset Prices 1988The real term structure and consumption growth 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’2005Why Does the Yield Curve Predict Output and Inflation?

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2014Nested forecast model comparisons: A new approach to testing equal accuracy 2007Forecasting with the yield curve; level, slope, and output 1875–1997 2008The Yield Curve as a Leading Indicator: Frequently Asked Questions 2018The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?2017When does the yield curve contain predictive power? Evidence from a data-rich environment

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