The yield curve as a predictor of U.S. recessions
Arturo Estrella () and
Frederic Mishkin ()
Current Issues in Economics and Finance, 1996, vol. 2, issue Jun
The yield curve--specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill--is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.
Keywords: Forecasting; Recessions; Treasury bills (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fednci:y:1996:i:jun:n:v.2no.7
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