Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature

David C. Wheelock · Mark E. Wohar

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

Abstract

This article surveys recent research on the usefulness of the term spread (i.e., the difference between the yields on long-term and short-term Treasury securities) for predicting changes in economic activity.

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References

1989The federal funds rate and the channels of monetary transmission 1991The Term Structure as a Predictor of Real Economic Activity 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators 2003Forecasting Output and Inflation: The Role of Asset Prices 2005What does the yield curve tell us about GDP growth?1988The real term structure and consumption growth 1990The Federal Funds Rate and the Channels of Monetary Transnission 1997The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

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