The Yield Curve as a Predictor of U.S. Recessions

6 Pages Posted: 21 Jul 2007

See all articles by Arturo Estrella

Arturo Estrella

Frederic S. Mishkin

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Date Written: June 1996

Abstract

The yield curve—specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill—is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.

Keywords: term structure, business cycle

JEL Classification: C53, E37

Suggested Citation

Estrella, Arturo and Mishkin, Frederic S., The Yield Curve as a Predictor of U.S. Recessions (June 1996). Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996, Available at SSRN: https://ssrn.com/abstract=1001228 or http://dx.doi.org/10.2139/ssrn.1001228

Frederic S. Mishkin

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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