There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregressive models of the UK and German economies. It is found that they do have...

In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at...

Since the 1980s, economists have argued that the slope of the yield curve - the spread between long- and short-term interest rates - is a good predictor of future economic activity. While much of the existing research has documented how consistently movements in the curve have signaled past...