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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

Abstract: 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)
New Economics Papers: this item is included in nep-for, nep-his, nep-mac and nep-mon
Date: 2006
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Journal Article: Forecasting with the yield curve; level, slope, and output 1875-1997 (2008) Downloads
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