Nominal Interest Rates as Indicators of Inflation Expectations

Paul Söderlind

Scandinavian Journal of Economics, 1998, vol. 100, issue 2, 457-472

Abstract: The properties of nominal interest rates as indicators of inflation expectations are evaluated. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several US and UK data sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations. However, changes in interest rates are poor indicators of changes inflation expectations.

Date: 1998
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