Do Foreign Yield Curves Predict U.S. Recessions and GDP Growth?
研究发现，非美国G7国家的债券收益率曲线（外国期限利差）比美国自身的期限利差更能预测未来一年内的美国经济衰退，且两者在不同时间跨度上对美国经济活动有不同影响。
Abstract Foreign term spreads constructed from bond yields of non‐U.S. G‐7 constituents predict future U.S. recessions and foreign term spreads are stronger predictors of U.S. recessions occurring within the next year than U.S. term spreads. U.S. and foreign term spreads are both informative of the U.S. economy but over different horizons and for different components of economic activity. Smaller U.S. term spreads lead to smaller foreign term spreads and U.S. Dollar appreciation. Smaller foreign term spreads do not lead to significant U.S. Dollar depreciation but do lead to persistent declines in U.S. exports and foreign direct investment (FDI) flows into the United States. These findings are consistent with the proposition that foreign term spreads embed growth spillovers from the U.S. and the resulting Dollar strength and slowdown abroad spill back to the United States.