How stable is the predictive power of the yield curve?
Subtitle: evidence from Germany and the United States
By: Arturo Estrella, Anthony P. Rodrigues, and Sebastian Schich.
Contributors: Rodrigues, Anthony Paul; Schich, Sebastian; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 113; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 113.
Publisher: Federal Reserve Bank of New York
Published: 2000
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Interest rates -- Effect of inflation on -- United States.; Interest rates -- Effect of inflation on -- Germany.; Inflation (Finance) -- United States.; Inflation (Finance) -- Germany.; Recessions -- United States.; Recessions -- Germany.
Description: "Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation.  Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time.  We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable.  We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure.  In each case, we draw on evidence from Germany and the United States.  Models that predict real activity are more stable than those that predict inflation, and binary models are more stable than continuous models.  The model that predicts recessions is stable over our full sample period in both Germany and the United States"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 2/22/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.