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The Yield Curve, Recessions and the Credibility of the Monetary Regime: Long Run Evidence 1875-1997

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, particularly across different monetary regimes. In accord with our proposed theory, regimes with low credibility (high persistence of inflation) tend to have better predictability.
Year of publication:
2004-04
Authors: Bordo, Michael David ; Haubrich, Joseph
Institutions: National Bureau of Economic Research (NBER)
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
DAE ME Number 10431
Classification: E43 - Determination of Interest Rates; Term Structure Interest Rates ; E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005829510
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