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Working Paper

Forecasting with the Yield Curve: Level, Slope, and Output 1875-1997

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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.
10.01.2006ISSN 2573-7953 WP 06-11DOI 10.26509/frbc-wp-200611
Keywords interest rates, forecasting, gnp growth
JEL Classification Codes E43, E27

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

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. https://doi.org/10.26509/frbc-wp-200611