The Predictive Content of the Interest Rate Term Spread for Future Economic Growth

21 Pages Posted: 21 Nov 2012

See all articles by Michael Dotsey

Michael Dotsey

Federal Reserve Bank of Philadelphia

Date Written: 1998

Abstract

The interest rate term spread contains useful information for predicting both economic activity and the probability of recessions. Further, the spread contains information not already included in past economic growth and past monetary policy. Nevertheless, the spread's forecasting performance, while still useful, has shown a noticeable deterioration in recent years.

Suggested Citation

Dotsey, Michael, The Predictive Content of the Interest Rate Term Spread for Future Economic Growth (1998). FRB Richmond Economic Quarterly, vol. 84, no. 3, Summer 1998, pp. 31-51, Available at SSRN: https://ssrn.com/abstract=2126284

Michael Dotsey (Contact Author)

Federal Reserve Bank of Philadelphia ( email )

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