The Real Term Structure and Consumption Growth

32 Pages Posted: 8 Oct 2005

See all articles by Campbell R. Harvey

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)


One version of the consumption-based asset pricing model implies a linear relation between expected returns and expected consumption growth. This paper provides evidence that the expected real term structure contains information that can be used to forecast consumption growth. The evidence is strongest for the 1970's and 1980's. The real term structure contains more information than two alternative measures: lagged consumption growth and lagged stock returns. Further, the real term structure appears to have slightly more forecasting power than the leading commercial econometric models. This is the working paper version of my 1988 Journal of Financial Economics article.

Keywords: Term structure, yield curve, forecasting economic growth, predicting consumption growth

JEL Classification: G10, G12, E32, E43, F43

Suggested Citation

Harvey, Campbell R., The Real Term Structure and Consumption Growth. Available at SSRN: or

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)


National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics