The Yield Curve as a Predictor of U.S. Recessions
6 Pages Posted: 21 Jul 2007
Date Written: June 1996
The yield curvespecifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury billis a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.
Keywords: term structure, business cycle
JEL Classification: C53, E37
Suggested Citation: Suggested Citation