The Information In The Longer Maturity Term Structure About Future Inflation
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The Information In The Longer Maturity Term Structure About Future Inflation
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Author : Frederic S. Mishkin
language : en
Publisher:
Release Date : 2010
The Information In The Longer Maturity Term Structure About Future Inflation written by Frederic S. Mishkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper provides empirical evidence on the information in the term structure for longer maturities about both future inflation and the term structure of real interest rates. The evidence indicates that there is substantial information in the longer maturity term structure about futureinflation: the slope of the term structure does have a great deal of predictive power for future changes in inflation. On the other hand, at the longer maturities, the term structure of nominal interest rates contains very little information about the term structure of real interest rates. These results are strikingly different from those found for very short-term maturities, six months or less, in previous work. For maturities of six months or less, the term structure contains no information about the future path of inflation, but it does contain a great deal of information about the term structure of real interest rates. The evidence in this paper does indicate that, at longer maturities, the term structure of interest rates can be used to help assess future inflationary pressures: when the slope of the term structure steepens, it is an indication that the inflation rate will rise in the future and when the slope falls, it is an indication that the inflation rate will fall. However, we must still remain cautious about using the evidence presented here to advocate that the Federal Reserve should target on the term structure in conducting monetary policy. A change in Federal Reserve operating procedures which focuses on the term structure may well cause the relationship between the term structure and future inflation to shift, with the result that the term structure no longer remains an accurate guide to the path of future inflation. If this were to occur, Federal Reserve monetary policy could go far astray by focusing on the term structure of interest rates.
The Information In The Longer Maturity Term Structure About Future Inflation
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Author : Frederic Mishkin
language : es
Publisher:
Release Date : 1989
The Information In The Longer Maturity Term Structure About Future Inflation written by Frederic Mishkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
A Multi Country Study Of The Information In The Term Structure About Future Inflation
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Author : Frederic S. Mishkin
language : en
Publisher:
Release Date : 1989
A Multi Country Study Of The Information In The Term Structure About Future Inflation written by Frederic S. Mishkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Bank deposits categories.
This paper provides evidence on what the term structure (for maturities of twelve months or less) tells us about future inflation in ten OECD countries. The empirical results on the information in the term structure contrast with those that find that the level of interest rates help forecast the future level of inflation. Instead, they indicate that for the majority of the countries in the sample, the term structure does not contain a great deal of information about the future path of inflation. The results for France, the United Kingdom and Germany tell a different story, however. In these countries, the term structure contains a highly significant amount of information about future changes in inflation. The evidence in this paper suggests that central banks for most of the countries studied here should exercise some caution in using the term structure of interest rates as a guide for assessing inflationary pressures in the economy, as is currently under consideration in the U.S. central bank. Although there is significant information in the term structure about the future path of inflation for a few of the countries, this is not a result that is true in general. The empirical evidence does reveal, however, that for every country studied except the United Kingdom, there is a great deal of information in the term structure of nominal' interest rates about the term structure of real' interest rates. This finding is an extremely useful one because it suggests that for most countries researchers can examine observable data on the nominal term structure to provide them with information about the behavior of the real' term structure.
The Information Content Of The Term Structure Of Interest Rates
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Author : Frank Browne
language : en
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
Release Date : 1989
The Information Content Of The Term Structure Of Interest Rates written by Frank Browne and has been published by [Paris, France] : OECD, Department of Economics and Statistics this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Inflation (Finance) categories.
A Multi Country Comparison Of Term Structure Forecasts At Long Horizons
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Author : Philippe Jorion
language : en
Publisher:
Release Date : 1991
A Multi Country Comparison Of Term Structure Forecasts At Long Horizons written by Philippe Jorion and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Inflation (Finance) categories.
This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation processes across these countries, there is we find strong evidence that the term structure does have significant forecasting ability for future changes in inflation, particularly so at long maturities. On the other hand, the ability of the term structure to forecast future changes in 1-year interest rates is somewhat weaker; only at the very longest horizon (5 years) is there significant forecasting ability for interest rate changes.
An Indicator Of Future Inflation Extracted From The Steepness Of The Interest Rate Yield Curve Along Its Entire Length
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Author : Jeffrey A. Frankel
language : en
Publisher:
Release Date : 1991
An Indicator Of Future Inflation Extracted From The Steepness Of The Interest Rate Yield Curve Along Its Entire Length written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Inflation (Finance) categories.
It is often suggested that the slope of the term structure of interest rates contains information about the expected future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates helps to predict the difference between the 12-month and 3-month inflation rates. His approach however, lacks a theoretical foundation, other than the (rejected) hypothesis that the real interest rate is constant. This paper applies a simple existing theoretical framework, which allows the real interest rate to vary in the short run but converge to a constant in the long run, to the problem of predicting the inflation spread. It is shown that the appropriate indicator of expected inflation can make use of the entire length of the yield curve, in particular by estimating the steepness of a specific nonlinear transformation of the curve, rather than being restricted to a spread between two points. The resulting indicator, besides having a firmer theoretical foundation does a relatively good job of predicting the inflation rate over the period 1960 to 1988.
The Term Structure Of Interest Rates And Inflation Forecast Targeting
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Author : Sylvester C. W. Eijffinger
language : en
Publisher:
Release Date : 2000
The Term Structure Of Interest Rates And Inflation Forecast Targeting written by Sylvester C. W. Eijffinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Anti-inflationary policies categories.
Yield Curve
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Author : Frederic S. Mishkin
language : en
Publisher:
Release Date : 1990
Yield Curve written by Frederic S. Mishkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Interest rates categories.
This paper provides a brief survey of the relationship between the yield curve and future changes in interest rates and inflation. The expectations hypothesis of the term structure indicates .that when the yield curve is upward sloping, future short-term and long-term interest rates are expected to rise. Empirical evidence finds that as predicted by the expectations hypothesis, yield spreads are positively correlated with future changes in short-term interest rates, particularly at long horizons. However, yield spreads are negatively correlated with next period's change in long-term interest rates, the opposite prediction of the expectations hypothesis. Empirical evidence also suggests that the yield curve has almost no ability to forecast future inflation changes for short horizons: however, at horizons of a year or greater, the yield curve contains a great deal of information about the future path of inflation.
The Cyclical Behavior Of The Term Structure Of Interest Rates
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Author : Reuben A. Kessel
language : en
Publisher:
Release Date : 1965
The Cyclical Behavior Of The Term Structure Of Interest Rates written by Reuben A. Kessel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1965 with Business & Economics categories.
Some Further Evidence On The Term Structure Of Interest Rates In New Zealand
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Author : Girol Karacaoglu
language : en
Publisher:
Release Date : 1987
Some Further Evidence On The Term Structure Of Interest Rates In New Zealand written by Girol Karacaoglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.