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
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)
New Economics Papers: this item is included in nep-his and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed
Downloads: (external link)
https://www.clevelandfed.org/~/media/content/newsr ... gime%20pdf.pdf?la=en Full text (application/pdf)
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)
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:fip:fedcwp:0402
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers (Old Series) from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library ().