The predictive power of the yield curve across countries and time
By: Menzie D. Chinn, Kavan J. Kucko
Contributors: Kucko, Kavan J.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16398; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16398.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 2/10/2011.

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