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Year: 1999 Publisher: Oxford University of Oxford, QEH International Development Centre
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The paper is devoted to an empirical examination of the information content in the term structure of nominal interest rates for future inflation. Tests of the ability of the term structure to forecast future changes in the inflation rate are carried out for six major OECD countries using monthly data. These tests demonstrate that the term structure does have considerable forecasting ability, particularly for rates taken from the short end of the maturity spectrum. However, with one exception, forecasting power tends to fade or disappear completely when the term structure in question is formed using yields on increasingly distant maturities as the long rate. This suggests that changes in the nominal term structure using such rates reflect mostly changes in the term structure of (ex post) real interest rates ...
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Year: 1989 Publisher: Paris OECD. Department of economics and statistics
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Year: 1998 Publisher: London Centre For Economic Policy Research. Discussion Paper Nr. 1909 - International Macroeconomics
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Year: 1999 Publisher: London Centre For Economic Policy Research. Discussion Paper Nr. 2262 - Labour Economics And International Trade
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Year: 2002 Publisher: London Centre For Economic Policy Research, International Macroeconomics, Discussion Paper Nr. 3484
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Year: 1998 Publisher: London Centre For Economic Policy Research. Discussion Paper Nr. 1846 - International Macroeconomics
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The paper is devoted to an empirical examination of the information content in the term structure of nominal interest rates for future inflation. Tests of the ability of the term structure to forecast future changes in the inflation rate are carried out for six major OECD countries using monthly data. These tests demonstrate that the term structure does have considerable forecasting ability, particularly for rates taken from the short end of the maturity spectrum. However, with one exception, forecasting power tends to fade or disappear completely when the term structure in question is formed using yields on increasingly distant maturities as the long rate. This suggests that changes in the nominal term structure using such rates reflect mostly changes in the term structure of (ex post) real interest rates ...
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