Liquidity, Uncertainty, and the Declining Predictive Power of the Paper-Bill Spread

The spread between the yields on six-month commercial paper and six- month Treasury bills (the paper-bill spread) has been shown to be a good predictor of macroeconomic variables such as GDP and real income, at least through the mid-1980s. In this working paper, Ferderer, Vogt, and Chahil explore reasons why this variable yielded such predictive power in the past and evidence of why its predictive power has waned.

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Year of publication:	1999-04-15
Authors:	Ferderer, J. Peter ; Vogt, Stephen C. ; Chalil, Ravi
Institutions:	EconWPA

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Extent:	application/pdf
Series:	Macroeconomics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - Acrobat PDF; prepared on IBM PC; to print on PostScript; pages: 58; figures: included 58 pages
Classification:	E - Macroeconomics and Monetary Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561181