Economics at your fingertips  

The Slope of the Term Structure and Recessions: The Pre-Fed Evidence, 1857-1913

Stefan Gerlach and Rebecca Stuart ()

No 13013, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper studies the information content of the slope of the term structure for recessions, using monthly US data spanning 1857-1913. We find that the term spread predicts future recessions up to about 12 months ahead, as does the current value of the recession dummy. We also find that stock prices are significant in the probit models we use to predict future recessions, but that business failures and growth in industrial production are generally insignificant. Overall, the results give broad support to the findings of Bordo and Haubrich (2004, 2008a, 2008b), who use quarterly data from 1875 to study the ability of the term structure to forecast real GNP growth. C25

Keywords: Federal Reserve; Recessions; term structure (search for similar items in EconPapers)
JEL-codes: C25 E00 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his and nep-mac
Date: 2018-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at

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:

Ordering information: This working paper can be ordered from ... rs/dp.php?dpno=13013

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

Page updated 2020-01-13
Handle: RePEc:cpr:ceprdp:13013