Show simple item record

AuthorHeath, E.
Available date2015-10-18T09:05:15Z
Publication Date2014-03
Publication NameStudies in Business and economic
CitationHeath, E. (2014), THE INVERTED YIELD CURVE AND THE COMPONENTS OF GDP, 1:31 - 50
ISSN1818-1228
URIhttp://hdl.handle.net/10576/3572
AbstractWhen 3-month Treasury rates are greater than 10 -year Treasury rates an inverted yield curve occurs. When this state is reached some argue that a recession is on the horizon, typically 6 months to a year down the road. Here, I reframe the question of whether inverted yield curves predict recessions in the US and ask what an inverted yield curve predicts. Using a Probit model I find that when 10-year US Treasury bonds yield less than 3-month US Treasury bills, a US recession, while probable, is not certain. Moreover, I find that indeed the strength of this indicator has weakened over the last 20 years. However, my findings do not suggest that an inverted yield curve provides no information about the future. In fact, I find that an inverted yield curve strongly predicts movements in the consumer durables and fixed private investment series of US GDP.
Languageen
PublisherQatar University
SubjectYield Curve
GDP
Federal Funds Rate
Monetary Policy
TitleThe Inverted Yield Curve and the Components of GDP
TypeArticle
Pagination31 - 50
Issue Number1
Volume Number17
dc.accessType Open Access


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record