Abstract
Does the yield curve’s ability to predict future output and recessions differ when interest rates and inflation are low, as was recently the case? We explore the issue using historical data going back to the 19th century for the US. This paper is similar in spirit to Ramey and Zubairy (2018), who look at the government spending multiplier in times of low interest rates. If anything, the yield curve tends to predict output growth better in low interest rate environments, though this result is stronger for RGDP than for IP.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have