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Forecasting with the yield curve; level, slope, and output 1875–1997
Journal article   Peer reviewed

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

Michael D Bordo and Joseph G Haubrich
Economics letters, Vol.99(1), pp.48-50
2008
DOI: https://doi.org/10.1016/j.econlet.2007.05.026

Abstract

Forecasting GNP growth Interest rates
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.

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