Forecasting With the Yield Curve; Level, Slope, and Output 1875-1997

14 Pages Posted: 21 May 2007

See all articles by Michael D. Bordo

Michael D. Bordo

Rutgers University, New Brunswick - Department of Economics; National Bureau of Economic Research (NBER)

Joseph G. Haubrich

Federal Reserve Bank of Cleveland

Date Written: October 2006

Abstract

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

Bordo, Michael D. and Haubrich, Joseph G., Forecasting With the Yield Curve; Level, Slope, and Output 1875-1997 (October 2006). FRB of Cleveland Working Paper No. 06-11, Available at SSRN: https://ssrn.com/abstract=939772 or http://dx.doi.org/10.2139/ssrn.939772

Michael D. Bordo

Rutgers University, New Brunswick - Department of Economics ( email )

New Brunswick, NJ
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Joseph G. Haubrich (Contact Author)

Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States
216-579-2802 (Phone)
216-579-3050 (Fax)

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

Paper statistics

Downloads
273
Abstract Views
1,489
rank
159,313
PlumX Metrics