The yield curve as a leading indicator: some practical issues
Arturo Estrella () and
Mary R. Trubin
Current Issues in Economics and Finance, 2006, vol. 12, issue Jul
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 recessions, considerably less attention has been paid to the use of the yield curve as a forecasting tool in real time. This analysis seeks to fill that gap by offering practical guidelines on how best to construct the yield curve indicator and to interpret the measure in real time.
Keywords: Recessions; Rate of return; Treasury bills; Interest rates (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations View citations in EconPapers (39) Track citations by RSS feed
Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/rese ... t_issues/ci12-5.html (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:fip:fednci:y:2006:i:jul:n:v.12no.5
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Current Issues in Economics and Finance from Federal Reserve Bank of New York Contact information at EDIRC.
Series data maintained by Amy Farber ().