On the predictive power of the term structure during the 1930s

This paper investigates the predictive power of the interest rates during the period 1929-1940 in the United States. Our empirical evidence finds no support for the one-to-one relationship between the term structure of short-term interest rates and inflation for forecasting horizons of six months less or greater than one year. The hypothesis is not rejected for a 3 to 12 month horizon or for the 12 to 24 month horizon with a structural break.

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Year of publication:	1999
Authors:	Klug, Adam ; Nadav, Carmel
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 6.1999, 9, p. 577-580
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009213402