The slope of the term structure and recessions:: evidence from the UK, 1822 – 2016

Terence C. Mills, Forrest Capie and C. A. E. Goodhart

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: It is well known that the slope of the term structure of interest rates contains information for forecasting the likelihood of a recession in the US. This column examines whether the same is true for the UK. Focusing on three periods – the pre-WWI era, the inter-war years, and the post-WWII period – it finds strong support for the inverted yield curve being a predictor of UK recessions for both the pre-WWI and post-WWII periods, but the evidence is less conclusive for the inter-war years.

Keywords: economic history; monetary policy; yield curve; recessions; UK; term structure (search for similar items in EconPapers)
JEL-codes: E6 N0 (search for similar items in EconPapers)
Pages: 5 pages
Date: 2019-04-18
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in VoxEU, 18, April, 2019

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:100964

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