PhDs.io — Knowledge that Transforms

Consumption and Fractional Differencing: Old and New Anomalies

The Review of Economics and Statistics 1993 75(4), 767 open access

A calculation of the stochastic properties of consumption when income follows a fractional stochastic process, showing how this may explain excess-smoothness results noted in previous studies.

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

Michael D. Bordo; Joseph G. Haubrich

The Review of Economics and Statistics 2008 90(1), 182-185

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.

Search Criteria

Consumption and Fractional Differencing: Old and New Anomalies

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