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.

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Year of publication:	2004
Authors:	Bordo, Michael D. ; Haubrich, Joseph G.
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Interest rates \| Bonds \| Monetary policy

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0402
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005428369