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)
Date: 2006
New Economics Papers: this item is included in nep-for, nep-his, nep-mac and nep-mon
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https://doi.org/10.26509/frbc-wp-200611 Persistent link
https://www.clevelandfed.org/-/media/project/cleve ... e-and-output-pdf.pdf Full text (application/pdf)
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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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DOI: 10.26509/frbc-wp-200611
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