The yield curve as a predictor of growth: Long-run evidence, 1875-1997

• 成果类型: Article
• 署名作者: Bordo, Michael D.; Haubrich, Joseph G.
• 署名单位: Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.90.1.182
• 发表日期: 2008-02
• 页码: 182-185
• 关键词: term structure; output

摘要

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.