Forecasting with the yield curve; level, slope, and output 1875-1997
Michael Bordo () and
Joseph Haubrich ()
No 611, Working Papers (Old Series) from Federal Reserve Bank of Cleveland
Using the yield curve helps forecast real growth over the period 1875 to 1997. Using both the level and slope of the curve improves forecasts more than using either variable alone. Forecast performance changes over time and depends somewhat on whether recursive or rolling out of sample regressions are used.
Keywords: Interest rates; Gross national product (search for similar items in EconPapers)
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Journal Article: Forecasting with the yield curve; level, slope, and output 1875-1997 (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:0611
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