How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*
用多种样本内和样本外评估方法以及预测崩溃新测试，系统评估美国收益率曲线对GDP增长的预测表现，发现伯恩斯-米勒和沃尔克货币政策时期存在预测崩溃，而格林斯潘早期则更可靠。
Abstract We provide an extensive evaluation of the predictive performance of the US yield curve for US gross domestic product growth by using new tests for forecast breakdown, in addition to a variety of in‐sample and out‐of‐sample evaluation procedures. Empirical research over the past decades has uncovered a strong predictive relationship between the yield curve and output growth, whose stability has recently been questioned. We document the existence of a forecast breakdown during the Burns–Miller and Volker monetary policy regimes, whereas during the early part of the Greenspan era the yield curve emerged as a more reliable model to predict future economic activity.