Monetary Tightening Cycles and the Predictability of Economic Activity

16 Pages Posted: 7 Oct 2009

Date Written: October 1, 2009

Abstract

Eleven of fourteen monetary tightening cycles since 1955 were followed by increases in unemployment; three were not. The term spread at the end of these cycles discriminates almost perfectly between subsequent outcomes, but levels of nominal or real interest rates, as well as other interest rate spreads, generally do not.

Keywords: monetary policy, interest rates, term structure, discriminant analysis

JEL Classification: E44, E52, G17

Suggested Citation

Estrella, Arturo and Adrian, Tobias, Monetary Tightening Cycles and the Predictability of Economic Activity (October 1, 2009). Federal Reserve Bank of New York Staff Report No. 397, Available at SSRN: https://ssrn.com/abstract=1483828 or http://dx.doi.org/10.2139/ssrn.1483828

Tobias Adrian

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

HOME PAGE: http://www.tobiasadrian.com

No contact information is available for Arturo Estrella

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
120
Abstract Views
1,967
rank
277,543
PlumX Metrics