Forecasting with the yield curve; level, slope, and output 1875-1997

Michael D. Bordo, Joseph G. Haubrich

Research output: Contribution to journalArticle

15 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)48-50
Number of pages3
JournalEconomics Letters
Volume99
Issue number1
DOIs
StatePublished - Apr 1 2008

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Keywords

  • Forecasting
  • GNP growth
  • Interest rates

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