The yield curve as a predictor of U.S. recessions

Estrella, Arturo; Mishkin, Frederic S.

Journal Article

The yield curve as a predictor of U.S. recessions

Abstract: The yield curve--specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill--is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.

Keywords: Forecasting; Recessions; Treasury bills;