Why Does the Yield Curve Predict Output and Inflation?
构建了一个理性预期模型，解释收益率曲线斜率为何能预测通胀和实际经济活动，发现这种关系受货币政策体制影响，但在多数情况下仍具预测力。
The slope of the yield curve has been shown empirically to be a significant predictor of inflation and real economic activity but there is no standard theory as to why the relationship exists. This article constructs an analytical rational expectations model to investigate the reasons for the empirical results. The model suggests that the relationships are not structural but are instead influenced by the monetary policy regime. However, the yield curve should have predictive power for output and inflation in most circumstances. Various implications of the theoretical model are tested and confirmed empirically. Copyright 2004 Federal Reserve Bank of New York.