The Information Content of the Term Structure of Interest Rates Theory and Practice

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 dat...

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Detalles Bibliográficos
Autor principal: Browne, Frank (-)
Otros Autores: Manasse, Paolo
Formato: Capítulo de libro electrónico
Idioma:Inglés
Publicado: Paris : OECD Publishing 1989.
Colección:OECD Economics Department Working Papers, no.69.
Materias:
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009705972506719
Descripción
Sumario: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 ...
Descripción Física:1 online resource (36 p. )