Forecasting with the Yield Curve: Level, Slope, and Output 1875-1997
Using the yield curve helps forecast real growth over the period 1875 to 1997. 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.
JEL Codes: E43, E27
Keywords: Interest rates, Forecasting, GNP growth
Suggested citation: Bordo, Michael D., and Joseph G. Haubrich, 2006. "Forecasting with the Yield Curve: Level, Slope, and Output 1875-1997," Federal Reserve Bank of Cleveland, Working Paper no. 06-11.