The term spread and real economic activity in the US inter-war period

Ivan Paya, Kent Matthews, David Peel

Research output: Journal PublicationArticlepeer-review

3 Citations (Scopus)


This paper aims to test the predictive quality of the term spread (difference between long-term and short-term rate of interest) on future economic growth over a period of deflationary price instability, extreme economic circumstance and change in monetary regime. First, it examines the link between the term spread and output growth in the inter-war period for the US economy. Second, it investigates if the information content in the term spread is independent of the short-term rate. Third, it examines the robustness of the relationship in the context of regime changes and tests if the relationship is linear or non-linear.

Original languageEnglish
Pages (from-to)331-343
Number of pages13
JournalJournal of Macroeconomics
Issue number2
Publication statusPublished - Jun 2005
Externally publishedYes


  • Growth
  • Inter-war
  • Term spread
  • US economy

ASJC Scopus subject areas

  • Economics and Econometrics


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