| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13013
|
| DP13013 The Slope of the Term Structure and Recessions: The Pre-Fed Evidence, 1857-1913 |
| Stefan Gerlach; Rebecca Stuart
|
| 发表日期 | 2018-06-23
|
| 出版年 | 2018
|
| 语种 | 英语
|
| 摘要 | This paper studies the information content of the slope of the term structure for recessions, using monthly US data spanning 1857-1913. We find that the term spread predicts future recessions up to about 12 months ahead, as does the current value of the recession dummy. We also find that stock prices are significant in the probit models we use to predict future recessions, but that business failures and growth in industrial production are generally insignificant. Overall, the results give broad support to the findings of Bordo and Haubrich (2004, 2008a, 2008b), who use quarterly data from 1875 to study the ability of the term structure to forecast real GNP growth. C25 |
| 主题 | Economic History
; Monetary Economics and Fluctuations
|
| 关键词 | Term structure
Recessions
Federal Reserve
|
| URL | https://cepr.org/publications/dp13013
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541820
|
推荐引用方式
GB/T 7714 |
Stefan Gerlach,Rebecca Stuart. DP13013 The Slope of the Term Structure and Recessions: The Pre-Fed Evidence, 1857-1913. 2018.
|
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