These selected readings provide an overview of the literature on the yield curve as a leading indicator. For an extensive bibliography, see the Yield Curve FAQs.


Basic readings

Estrella, Arturo and Gikas Hardouvelis (1991) “The term structure as a predictor of real economic activity.” Journal of Finance 46: 555-576. Working paper version: Federal Reserve Bank of New York Research Paper No. 8907, March/May 1989.

Estrella, Arturo and Frederic S. Mishkin (1998) “Predicting U.S. recessions: Financial variables as leading indicators.” Review of Economics and Statistics, 80: 45-61.

Estrella, Arturo (2005) “Why does the yield curve predict output and inflation?” The Economic Journal 115: 722-744.

Estrella, Arturo and Mary R. Trubin (2006) “The yield curve as a leading indicator: Some practical issues.” Current Issues in Economics and Finance, Federal Reserve Bank of New York, July/August.


Background and extensions

Bernanke, Ben S. (2006) “Reflections on the yield curve and monetary policy.” Remarks before the Economic Club of New York, March 20.

Bernard, Henri and Stefan Gerlach (1998) “Does the term structure predict recessions? The international evidence.” International Journal of Finance and Economics 3: 195-215; Bank for International Settlements Working Paper No. 37, September 1996.

Estrella, Arturo and Frederic S. Mishkin (1996) “The yield curve as a predictor of U.S. recessions.” Federal Reserve Bank of New York Current Issues in Economics and Finance.

Harvey, Campbell R. (1988) “The real term structure and consumption growth.” Journal of Financial Economics 22 (December): 305-333.

Laurent, Robert (1988) “An interest rate-based indicator of monetary policy.” Federal Reserve Bank of Chicago Economic Perspectives 12 (January): 3-14.

Rosenberg, Joshua and Samuel Maurer (2008) “Signal or Noise? Implications of the Term Premium for Recession Forecasting.” Economic Policy Review, Federal Reserve Bank of New York, July.

Rudebusch, Glenn D. and John C. Williams (2009) “Forecasting recessions: The puzzle of the enduring power of the yield curve.” Journal of Business and Economic Statistics.