The Predictive Power of the Yield Curve across Countries and Time

Menzie Chinn and Kavan J. Kucko

No 16398, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as European countries. We examine the sensitivity of the results to the selection of countries, and time periods. We find that the predictive power of the yield curve has deteriorated in recent years. However there is reason to believe that European country models perform better than non-European countries when using more recent data. In addition, the yield curve proves to have predictive power even after accounting for other leading indicators of economic activity.

JEL-codes: C22 E37 E43 (search for similar items in EconPapers)
Date: 2010-09
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Published as Menzie Chinn & Kavan Kucko, 2015. "The Predictive Power of the Yield Curve Across Countries and Time," International Finance, vol 18(2), pages 129-156.

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Journal Article: The Predictive Power of the Yield Curve Across Countries and Time (2015)
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