|June 1996 Volume 2 Number 7
|JEL classification: C53, E37
Authors: Arturo Estrella and Frederic S. Mishkin
The yield curve—specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill—is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.