Board of Governors of the Federal Reserve System (U.S.)
(Don't Fear) The Yield Curve
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.
This item with handle RePEc:fip:fedgfn:2018-06-28
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