The Yield Curve as a Predictor of U.S. Recessions

6 Pages Posted: 21 Jul 2007

See all articles by Arturo Estrella

Arturo Estrella

Frederic S. Mishkin

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Date Written: June 1996

Abstract

The yield curve—specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill—is 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

Estrella, Arturo and Mishkin, Frederic S., The Yield Curve as a Predictor of U.S. Recessions (June 1996). Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996. Available at SSRN: https://ssrn.com/abstract=1001228 or http://dx.doi.org/10.2139/ssrn.1001228

Frederic S. Mishkin

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

No contact information is available for Arturo Estrella

Register to save articles to
your library

Register

Paper statistics

Downloads
2,040
Abstract Views
5,696
rank
6,837
PlumX Metrics