A new summary measure of inflation expectations

George Kapetanios, Becky Maule and Garry Young

Economics Letters, 2016, vol. 149, issue C, 83-85

Abstract: This note uses the well-known Nelson–Siegel approach to modelling the term structure of interest rates to construct a summary measure of the term structure of inflation expectations from a diverse set of indicators. The proposed measure captures the signal contained in UK surveys and provides some information for monetary policymakers.

Keywords: Term structure; Inflation expectation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:149:y:2016:i:c:p:83-85

DOI: 10.1016/j.econlet.2016.10.010

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