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

被引：16

作者：

Bordo, Michael D. ^{[2
,3
]}

Haubrich, Joseph G. ^{[1
]}

机构：

[1] Fed Reserve Bank Cleveland, Cleveland, OH 44120 USA

[2] Rutgers State Univ, Piscataway, NJ 08855 USA

[3] Kings Coll London, Cambridge, England

来源：

ECONOMICS LETTERS | 2008年 / 99卷 / 01期

关键词：

interest rates; forecasting; GNP growth;

D O I：

10.1016/j.econlet.2007.05.026

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：48 / 50

页数：3

共 50 条

[1] The yield curve as a predictor of growth: Long-run evidence, 1875-1997
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[J]. REVIEW OF ECONOMICS AND STATISTICS, 2008, 90 (01) : 182 - 185
[2] Using the Entire Yield Curve in Forecasting Output and Inflation
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