RT Journal Article
SR Electronic
T1 The Term Structure and World Economic Growth: A Retrospective and 30 Years of Out-of-sample Evidence
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP jfi.2022.1.142
DO 10.3905/jfi.2022.1.142
A1 Campbell R. Harvey
YR 2022
UL https://pm-research.com/content/early/2022/09/02/jfi.2022.1.142.abstract
AB The inaugural issue of The Journal of Fixed Income led with an article by a junior professor at Duke University (me) who linked the slope of the yield curve—the difference between long-term and short-term yields—to future economic growth. Thirty years later, I assess the out-of-sample performance of the yield curve indicator. Four recessions have come and gone since my article was submitted to The Journal of Fixed Income in 1990. Each time the yield curve has inverted prior to the recession. I also provide some additional background regarding the genesis of my idea.