The Predictive Power of the Yield Curve across Countries and Time / Menzie D. Chinn, Kavan J. Kucko.

Format:

Book

Author/Creator:

Chinn, Menzie D.

Contributor:

National Bureau of Economic Research.

Kucko, Kavan J.

Series:

Working Paper Series (National Bureau of Economic Research) no. w16398.

NBER working paper series no. w16398

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2010.

Summary:

In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as European countries. We examine the sensitivity of the results to the selection of countries, and time periods. We find that the predictive power of the yield curve has deteriorated in recent years. However there is reason to believe that European country models perform better than non-European countries when using more recent data. In addition, the yield curve proves to have predictive power even after accounting for other leading indicators of economic activity.

Notes:

Print version record

September 2010.