The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997

Michael Bordo and Joseph Haubrich

No 402, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: This paper brings historical evidence to bear on the stylized fact that the yield curve predicts future growth. The spread between corporate bonds and commercial paper reliably predicts future growth over the period 1875-1997. This predictability varies over time, however, particularly across different monetary regimes. In accord with our proposed theory, regimes with low credibility (high persistence of inflation) tend to have better predictability.

Keywords: Interest rates; Bonds; Monetary policy (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (16)

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Related works:
Working Paper: The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997 (2004)
Working Paper: The Yield Curve, Recessions and the Credibility of the Monetary Regime: Long Run Evidence 1875-1997 (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:0402

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DOI: 10.26509/frbc-wp-200402

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