Liquidity, Uncertainty, and the Declining Predictive Power of the Paper-Bill Spread

J. Ferderer, Stephen C. Vogt and Ravi Chalil
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Stephen C. Vogt: The Jerome Levy Economics Institute
Ravi Chalil: The Jerome Levy Economics Institute

Macroeconomics from University Library of Munich, Germany

Abstract: The spread between the yields on six-month commercial paper and six- month Treasury bills (the paper-bill spread) has been shown to be a good predictor of macroeconomic variables such as GDP and real income, at least through the mid-1980s. In this working paper, Ferderer, Vogt, and Chahil explore reasons why this variable yielded such predictive power in the past and evidence of why its predictive power has waned.

JEL-codes: E (search for similar items in EconPapers)
Pages: 58 pages
Date: 1999-04-15
Note: Type of Document - Acrobat PDF; prepared on IBM PC; to print on PostScript; pages: 58; figures: included
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:9904007

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