1. The Term Structure and Economic Growth: The Recession of 2001
Campbell R. Harvey
Duke University, Durham, NC USA
National Bureau of Economic Research, Cambridge MA USA

2. Update March 2003
In July 2000, the Yield Curve inverted forecasting recession to begin in June 2001
Official NBER Peak is March 2001 (Yield Curve within one quarter accurate).
In March 2001, the Yield Curve returned to normal forecasting the end of the recession in November 2001.
NBER has not dated the end of the recession. However, forecast looks good.
Campbell R. Harvey 2003

3. Exhibit 1
Campbell R. Harvey 2003

4. Exhibit 2
Yield Curve Inverts Before Last Six Recessions (5-year Treasury bond - 3-month Treasury bill)
Annual
GDP growth
or Yield Curve
% Real annual GDP growth
Yield curve
Recession
Correct
Recession
Correct
Yield curve accurate
in recent forecast
Recession
Correct
2 Recessions
Correct
Data though 3/5/03
Campbell R. Harvey 2003

5. Exhibit 3
Recent Annualized One-Quarter GDP Growth (10-year and 5-year Yield Curves)
Annualized
1-quarter
GDP growth
Yield curve
% Real annualized one-quarter GDP growth
10-year
Both curves
invert 2000Q3
5-year
Data though 3/5/03
Campbell R. Harvey 2003

6. Term Structure and GDP Research Chronology
Campbell R. Harvey’s Ph.D.Thesis, University of Chicago, 1986.
Campbell R. Harvey, “The Real Term Structure and Consumption Growth,” Journal of Financial Economics, 1988
Seven other works found at:
Campbell R. Harvey 2003