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

6 Pages Posted: 22 Nov 2000

See all articles by Frederic S. Mishkin

Frederic S. Mishkin

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

Arturo Estrella

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.

Suggested Citation

Mishkin, Frederic S. and Estrella, Arturo, The Yield Curve as a Predictor of U.S. Recessions (June 1996). AFA 2001 New Orleans. Available at SSRN: https://ssrn.com/abstract=249992 or http://dx.doi.org/10.2139/ssrn.249992

Frederic S. Mishkin (Contact Author)

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

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