Term Structure Forecasts of Inflation: Some Further Results

N. Blake, S.G.B. Henry and Donald Robertson

Manchester School, 2002, vol. 70, issue 6, 822-832

Abstract: New evidence is presented on the information content of expected inflation derived from index–linked and conventional yield curves. Using monthly data the tests are done over three expectations horizons: 6, 12 and 24 months. In each case we find that there is little information content in this yield–curve–based expected inflation data. In the 12– and 24–month cases, the tests call on an alternative expected inflation series derived from consumer expectations surveys. We show that the use of the latter data renders the yield–curve–based data insignificant over these horizons.

Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1467-9957.00327

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:bla:manchs:v:70:y:2002:i:6:p:822-832

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().