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The slope of the term structure and recessions:: evidence from the UK, 1822 – 2016

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.

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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: 25 Aug 2020 23:26
URI: http://eprints.lse.ac.uk/id/eprint/100964

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