Term Structure Forecasts of Inflation

Donald Robertson

Economic Journal, 1992, vol. 102, issue 414, 1083-93

Abstract: This paper investigates the information in the term structure of interest rates about future inflation using U.K. data. The author finds that at horizons of up to four years the term structure has predictive value for inflation outcomes. The term structure could, thus, provide a guide to the setting of monetary policy. Copyright 1992 by Royal Economic Society.

Date: 1992
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