Many papers have documented, in different countries and in different time periods, the positive relationship between the slope of the term structure and future real economic activity. According to Harvey (1988), this relatiohship is due to the fact that interest rates reflect the investors’ expectations about the future economic situation when deciding about their plans for consumption and investment. Harvey (1988), using the Consumption-Based Asset Pricing Model (CCAPM), formalises this argument in a forecasting equation that relates the slope of the real term structure to expected consumption growth. This paper provides the generalization of the model for any combination of maturities and complements the evidence on Harvey’s model by testing it for the case of Spain using in sample and out of sample analysis and a wide range of predictive horizons and terms to maturity of interest rates.

Key words: term structure of interest rates, economic growth, Harvey model.
JEL classification: E43, E32.