Forecasting With the Yield Curve; Level, Slope, and Output 1875-1997
14 Pages Posted: 21 May 2007
Date Written: October 2006
Over the period 1875 to 1997, using the yield curve helps forecast real growth. Using both the level and slope of the curve improves forecasts more than using either variable alone. Forecast performance changes over time and depends somewhat on whether recursive or rolling out of sample regressions are used.
Keywords: Interest rates, Forecasting, GNP growth
JEL Classification: E43, E27
Suggested Citation: Suggested Citation