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

Michael D. Bordo; Joseph G. Haubrich

doi:10.1162/rest.90.1.182

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The Review of Economics and Statistics Vol. 90 No. 1 2008

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

Michael D. Bordo¹; Joseph G. Haubrich^2,3

¹ Rutgers Sexual and Reproductive Health and Rights · ² Federal Reserve · ³ Federal Reserve Bank of Cleveland

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.

DOI: 10.1162/rest.90.1.182
Volume: 90
Issue: 1
Pages: 182-185
Language: en
Sources: openalex crossref

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

Abstract

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