Mills, Terence C., Capie, Forrest and Goodhart, C. A. E. (2019) The slope of the term structure and recessions:: evidence from the UK, 1822 – 2016. VoxEU.
Text (Goodhart_Slope-term-structure-recessions)
- Accepted Version
Download (364kB) |
Abstract
It is well known that the slope of the term structure of interest rates contains information for forecasting the likelihood of a recession in the US. This column examines whether the same is true for the UK. Focusing on three periods – the pre-WWI era, the inter-war years, and the post-WWII period – it finds strong support for the inverted yield curve being a predictor of UK recessions for both the pre-WWI and post-WWII periods, but the evidence is less conclusive for the inter-war years.
Item Type: | Article |
---|---|
Official URL: | https://voxeu.org/ |
Additional Information: | © 2019 The Authors |
Divisions: | Financial Markets Group |
Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HJ Public Finance |
Date Deposited: | 05 Jun 2019 13:09 |
Last Modified: | 12 Dec 2024 01:47 |
URI: | http://eprints.lse.ac.uk/id/eprint/100964 |
Actions (login required)
View Item |