On the predictive power of interest rates and interest rate spreads

Ben Bernanke

New England Economic Review, 1990, issue Nov, 51-68

Abstract: Economists have long understood that financial market variables contain considerable information about the future of the economy. Recently a number of researchers have pointed out that interest rates and interest rate spreads--that is, differences between interest rates on alternative financial assets--can be effective predictors of the economy. ; This finding raises a number of questions, possibly the most important being why interest rates and spreads predict the course of the economy so well. The authors tentative conclusion is that the spread between commercial paper and Treasury bill rates has historically been a good predictor because it combines information about both monetary and nonmonetary factors ~iffecting the economy, and because it does this more accurately than alternative interest rate-based measures.

Keywords: Interest rates; Forecasting (search for similar items in EconPapers)
Date: 1990
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (206)

Downloads: (external link)
http://www.bostonfed.org/economic/neer/neer1990/neer690d.pdf (application/pdf)

Related works:
Working Paper: On the Predictive Power of Interest Rates and Interest Rate Spreads (1990)
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:fedbne:y:1990:i:nov:p:51-68

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in New England Economic Review from Federal Reserve Bank of Boston Contact information at EDIRC.
Bibliographic data for series maintained by Catherine Spozio ().