{"title":"The Term Structure and World Economic Growth: A Retrospective and 30 Years of Out-of-sample Evidence","authors":"Campbell R. Harvey","doi":"10.3905/jfi.2022.1.142","DOIUrl":null,"url":null,"abstract":"The inaugural issue of The Journal of Fixed Income led with an article by a junior professor at Duke University (me) who linked the slope of the yield curve—the difference between long-term and short-term yields—to future economic growth. Thirty years later, this article assess the out-of-sample performance of the yield curve indicator. Four recessions have come and gone since the original article was submitted to The Journal of Fixed Income in 1990. Each time the yield curve has inverted prior to the recession. This article also provides some additional background regarding the genesis of the idea.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"32 1","pages":"53 - 63"},"PeriodicalIF":0.0000,"publicationDate":"2022-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2022.1.142","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The inaugural issue of The Journal of Fixed Income led with an article by a junior professor at Duke University (me) who linked the slope of the yield curve—the difference between long-term and short-term yields—to future economic growth. Thirty years later, this article assess the out-of-sample performance of the yield curve indicator. Four recessions have come and gone since the original article was submitted to The Journal of Fixed Income in 1990. Each time the yield curve has inverted prior to the recession. This article also provides some additional background regarding the genesis of the idea.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.