Low Interest Rates, Policy, and the Predictive Content of the Yield Curve / Michael D. Bordo, Joseph G. Haubrich.

Format:

Book

Author/Creator:

Bordo, Michael D.

Contributor:

National Bureau of Economic Research.

Haubrich, Joseph G.

Series:

Working Paper Series (National Bureau of Economic Research) no. w27691.

NBER working paper series no. w27691

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2020.

Summary:

Does the yield curve's ability to predict future output and recessions differ when interest rates are low, as in the current global environment? In this paper we build on recent econometric work by Shi, Phillips and Hurn that detects changes in the causal impact of the yield curve and relate that to the level of interest rates. We explore the issue using historical data going back to the 19th century for the US and more recent data for the UK, Germany, and Japan. This paper is similar in spirit to Ramey and Zubairy (2018) who look at the government spending multiplier in times of low interest rates.

Notes:

Print version record

August 2020.