Forecasting Inflation from the Term Structure

Elias Tzavalis and Michael Wickens

Discussion Papers from University of Exeter, Department of Economics

Abstract: This paper presents new evidence about the information contained in the term structure about future inflation. Although the general finding in the literature is that the greater the time horizon the more information the term structure possesses about inflation, in this paper we show that the forecasting ability of the term spread is very poor. The main finding of the paper is that the real interest rate contains far more information about future inflation that the term spread.

Keywords: FORECASTING; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C32 C52 E43 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1995
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Citations: View citations in EconPapers (1)

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Journal Article: Forecasting inflation from the term structure (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:9519

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