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Board of Governors of the Federal Reserve System (U.S.)
FEDS Notes
(Don't Fear) The Yield Curve
Eric Engstrom
Steven A. Sharpe
Abstract

In this note, we show that, for predicting recessions, such measures of a "long-term spread"--the spread in yields between a far-off maturity such as 10 years and a shorter maturity such as 1 or 2 years--are statistically dominated by a more economically intuitive alternative, a "near-term forward spread."


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Eric Engstrom & Steven A. Sharpe, (Don't Fear) The Yield Curve, Board of Governors of the Federal Reserve System (U.S.), FEDS Notes 2018-06-28, 28 Jun 2018.
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DOI: 10.17016/2380-7172.2212
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