The information content of the yield spread about future inflation in South Africa

Manqoba Ntshakala and Laurence Harris

No wp-2018-63, WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER)

Abstract: The proposition that inflation expectations can be extracted as inflation predictions from the government bond yield curve has been tested, with partially positive results, using data from the United States and European countries. Despite the abundance of empirical studies of the proposition, relatively few of these studies relate to emerging markets, as most emerging markets lack bond markets with the liquidity, breadth, information availability, and range of maturities that would permit such studies.

Keywords: Rational expectations; Inflation; Monetary policy (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.wider.unu.edu/sites/default/files/Publ ... er/PDF/wp2018-63.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:unu:wpaper:wp-2018-63

Access Statistics for this paper

More papers in WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER) Contact information at EDIRC.
Bibliographic data for series maintained by Siméon Rapin ().