How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States
使用断点检验技术，考察德国和美国收益率曲线斜率对实际经济活动与通胀的预测关系是否随时间稳定，发现预测衰退的二元模型在两国全样本期内稳定。
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure. In each case, we draw on evidence from Germany and the United States. Models that predict real activity are more stable than those that predict inflation, and binary models are more stable than continuous models. The model that predicts recessions is stable over our full sample period in both Germany and the United States.