The Yield Curve, Recessions and the Credibility of the Monetary Regime: Long Run Evidence 1875-1997

Michael David Bordo () and Joseph Haubrich ()

No 10431, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: E43 E42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his and nep-mon
Date: 2004-04
Note: DAE ME
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Related works:
Working Paper: The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997 (2004)
Working Paper: The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997 (2004)
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