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 Cornerstone Research 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 -