TY  - JOUR
AU  - Chinn,Menzie D.
AU  - Kucko,Kavan J.
TI  - The Predictive Power of the Yield Curve across Countries and Time
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16398
PY  - 2010
Y2  - September 2010
DO  - 10.3386/w16398
UR  - http://www.nber.org/papers/w16398
L1  - http://www.nber.org/papers/w16398.pdf
N1  - Author contact info:
Menzie D. Chinn
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu

Kavan J.. Kucko
Department of Economics
Boston University
270 Bay State Road
Boston MA  02215
E-Mail: kavan.kucko@gmail.com
AB  - In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as European countries. We examine the sensitivity of the results to the selection of countries, and time periods.  We find that the predictive power of the yield curve has deteriorated in recent years.  However there is reason to believe that European country models perform better than non-European countries when using more recent data. In addition, the yield curve proves to have predictive power even after accounting for other leading indicators of economic activity.
ER  -