(Don't Fear) The Yield Curve

Eric Engstrom and Steven Sharpe

No 2018-06-28, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we show that, for predicting recessions, such measures of a "long-term spread"--the spread in yields between a far-off maturity such as 10 years and a shorter maturity such as 1 or 2 years--are statistically dominated by a more economically intuitive alternative, a "near-term forward spread."

Date: 2018-06-28
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.federalreserve.gov/econres/notes/feds- ... d-curve-20180628.htm (text/html)

Related works:
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: https://EconPapers.repec.org/RePEc:fip:fedgfn:2018-06-28

DOI: 10.17016/2380-7172.2212

Access Statistics for this paper

More papers in FEDS Notes from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().