EconPapers    
Economics at your fingertips  
 

The Term Structure as a Predictor of Real Economic Activity

Arturo Estrella () and Gikas Hardouvelis ()

Journal of Finance, 1991, vol. 46, issue 2, 555-76

Abstract: A positive slope of the yield curve is associated with a future increase in real economic activity: consumption (nondurables plus services), consumer durables, and investment. It has extra predictive power over the index of leading indicators, real short-term interest rates, lagged growth in economic activity, and lagged rates of inflation. It outperforms survey forecasts, both in-sample and out-of-sample. Historically, the information in the slope reflected, inter alia, factors that were independent of monetary policy and, thus, the slope could have provided useful information both to private investors and to policymakers. Copyright 1991 by American Finance Association.

Date: 1991
References: Add references at CitEc
Citations View citations in EconPapers (542) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819910 ... O%3B2-0&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: The term structure as a predictor of real economic activity (1989)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:jfinan:v:46:y:1991:i:2:p:555-76

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2017-05-12
Handle: RePEc:bla:jfinan:v:46:y:1991:i:2:p:555-76