The information content of the term structure: evidence for Germany

Stefan Gerlach ()

No 29, BIS Working Papers from Bank for International Settlements

Abstract: This paper studies the usefulness of spreads between interest rates of different maturities as indicators of future inflation and real interest rates in , using monthly data starting in 1967: 1. The central results are twofold. First, the interest rate spreads considered contain considerable information about future changes in inflation, but no information about the time path of real interest rates. Second, the medium-term segment of the yield curve (spreads between 6 and 2 year rates, for instance) appears to be the most informative for future inflation. These results are similar to those obtained by Mishkin (1990b) and Jorion and Mishkin (1991).

Pages: 24 pages
Date: 1995-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.bis.org/publ/work29.pdf Full PDF document (application/pdf)
http://www.bis.org/publ/work29.htm (text/html)

Related works:
Journal Article: The Information Content of the Term Structure: Evidence for Germany (1997)
Working Paper: The Information Content of the Term Structure: Evidence for Germany (1995)
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:bis:biswps:29

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().