The Predictive Power of the Yield Curve Across Countries and Time
Menzie Chinn () and
International Finance, 2015, vol. 18, issue 2, 129-156
type="main" xml:lang="en"> In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this article, we re-examine the evidence for this predictor for both the United States and other advanced economies. We examine the sensitivity of the results to the selection of countries, and to time periods. We find that the predictive power of the yield curve has deteriorated in the last half of the sample period, although there is evidence of a reversal in the lead-up to the Great Recession. There is reason to believe that European country models perform better than those with non-European countries when using more recent data. In addition, the yield curve proves to have predictive power even after accounting for other leading indicators of economic activity.
References: Add references at CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: The Predictive Power of the Yield Curve across Countries and Time (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:intfin:v:18:y:2015:i:2:p:129-156
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1367-0271
Access Statistics for this article
International Finance is currently edited by Benn Steil
More articles in International Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().