The Predictive Power of the Yield Curve across Countries and Time

Menzie Chinn · Kavan Kucko

75 citations0/0 files storedNational Bureau of Economic Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity.In this paper, we re-examine the evidence for this predictor, both for the United States, as well as European countries.We examine the sensitivity of the results to the selection of countries, and time periods.We find that the predictive power of the yield curve has deteriorated in recent years.However there is reason to believe that European country models perform better than non-European countries when using more recent data.In addition, the yield curve proves to have predictive power even after accounting for other leading indicators of economic activity.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 75 citations exist upstream.

References

1991The Term Structure as a Predictor of Real Economic Activity 2005Implications of Dynamic Factor Models for VAR Analysis 1991Financial Investment Opportunities and the Macroeconomy 1988The real term structure and consumption growth 1997The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank 2001Forecasting Output and Inflation: The Role of Asset Prices 1989Forecasts of Economic Growth from the Bond and Stock Markets 2009International capital flows and U.S. interest rates

Cited by

2020A financial stress index for a highly dollarized developing country: The case of Lebanon 2014Yield Curve and Recession Forecasting in a Machine Learning Framework 2014On stock market illiquidity and real-time GDP growth 2008The Yield Curve as a Leading Indicator: Frequently Asked Questions 2012Predicting severe simultaneous recessions using yield spreads as leading indicators

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.