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The Information In The Longer Maturity Term Structure About Future Inflation
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Book Synopsis The Information in the Longer Maturity Term Structure About Future Inflation by : Frederic S. Mishkin
Download or read book The Information in the Longer Maturity Term Structure About Future Inflation written by Frederic S. Mishkin and published by . This book was released on 2010 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides empirical evidence on the information in the term structure for longer maturities about both future inflation and the term structure of real interest rates. The evidence indicates that there is substantial information in the longer maturity term structure about futureinflation: the slope of the term structure does have a great deal of predictive power for future changes in inflation. On the other hand, at the longer maturities, the term structure of nominal interest rates contains very little information about the term structure of real interest rates. These results are strikingly different from those found for very short-term maturities, six months or less, in previous work. For maturities of six months or less, the term structure contains no information about the future path of inflation, but it does contain a great deal of information about the term structure of real interest rates. The evidence in this paper does indicate that, at longer maturities, the term structure of interest rates can be used to help assess future inflationary pressures: when the slope of the term structure steepens, it is an indication that the inflation rate will rise in the future and when the slope falls, it is an indication that the inflation rate will fall. However, we must still remain cautious about using the evidence presented here to advocate that the Federal Reserve should target on the term structure in conducting monetary policy. A change in Federal Reserve operating procedures which focuses on the term structure may well cause the relationship between the term structure and future inflation to shift, with the result that the term structure no longer remains an accurate guide to the path of future inflation. If this were to occur, Federal Reserve monetary policy could go far astray by focusing on the term structure of interest rates.
Book Synopsis The information in the longer maturity term structure about future inflation by : Frederic Mishkin
Download or read book The information in the longer maturity term structure about future inflation written by Frederic Mishkin and published by . This book was released on 1989 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis What Does the Term Structure Tell Us About Future Inflation? by : Frederic S. Mishkin
Download or read book What Does the Term Structure Tell Us About Future Inflation? written by Frederic S. Mishkin and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines empirically what the term structure of interest rates tells us about future inflation. The evidence indicates that the information in the term structure about the future path of inflation is quite different at the shortest end of the term structure (maturities six months or less) than it is for maturities of nine to twelve months. For maturities of six months or less, in all the sample periods examined -- February 1964 to December 1986, 1964 to October 1979, November 1979 to October 1982, November 1982 to December 1986 -- the term structure provides almost no information about the future path of inflation. On the other hand at this end of the term structure, the results do indicate that the term structure of nominal interest rates contain a great deal of information about the term structure of real interest rates. This finding is quite important because it suggests that researchers can examine observable data on the shortest end of the nominal term structure to provide them with information about the behavior of the real term structure. For maturities of nine and twelve months, the term structure does appear to contain information about the future path of inflation in the full sample period and in the sub-periods before October 1982. At these longer maturities, however, there does not appear to be much information in the nominal term structure about the term structure of real interest rates. The evidence in this paper suggests that some caution should be exercised in using the term structure of interest rates as a guide for assessing inflationary pressures in the economy, as is currently under consideration by the Federal Reserve. Although there is apparently significant information in the term structure about the future path of inflation for maturities greater than six months, there is no information about the future path of inflation that can be obtained from the shorter end of the term structure.
Book Synopsis A Multi-country Study of the Information in the Term Structure about Future Inflation by : Frederic S. Mishkin
Download or read book A Multi-country Study of the Information in the Term Structure about Future Inflation written by Frederic S. Mishkin and published by . This book was released on 1989 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides evidence on what the term structure (for maturities of twelve months or less) tells us about future inflation in ten OECD countries. The empirical results on the information in the term structure contrast with those that find that the level of interest rates help forecast the future level of inflation. Instead, they indicate that for the majority of the countries in the sample, the term structure does not contain a great deal of information about the future path of inflation. The results for France, the United Kingdom and Germany tell a different story, however. In these countries, the term structure contains a highly significant amount of information about future changes in inflation. The evidence in this paper suggests that central banks for most of the countries studied here should exercise some caution in using the term structure of interest rates as a guide for assessing inflationary pressures in the economy, as is currently under consideration in the U.S. central bank. Although there is significant information in the term structure about the future path of inflation for a few of the countries, this is not a result that is true in general. The empirical evidence does reveal, however, that for every country studied except the United Kingdom, there is a great deal of information in the term structure of nominal' interest rates about the term structure of real' interest rates. This finding is an extremely useful one because it suggests that for most countries researchers can examine observable data on the nominal term structure to provide them with information about the behavior of the real' term structure.
Book Synopsis The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium by : Christian Mose Nielsen
Download or read book The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium written by Christian Mose Nielsen and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
Author :Frank Browne Publisher :[Paris, France] : OECD, Department of Economics and Statistics ISBN 13 : Total Pages :40 pages Book Rating :4.F/5 ( download)
Book Synopsis The Information Content of the Term Structure of Interest Rates by : Frank Browne
Download or read book The Information Content of the Term Structure of Interest Rates written by Frank Browne and published by [Paris, France] : OECD, Department of Economics and Statistics. This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length by : Jeffrey A. Frankel
Download or read book An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length written by Jeffrey A. Frankel and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is often suggested that the slope of the term structure of interest rates contains information about the expected future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates helps to predict the difference between the 12-month and 3-month inflation rates. His approach however, lacks a theoretical foundation, other than the (rejected) hypothesis that the real interest rate is constant. This paper applies a simple existing theoretical framework, which allows the real interest rate to vary in the short run but converge to a constant in the long run, to the problem of predicting the inflation spread. It is shown that the appropriate indicator of expected inflation can make use of the entire length of the yield curve, in particular by estimating the steepness of a specific nonlinear transformation of the curve, rather than being restricted to a spread between two points. The resulting indicator, besides having a firmer theoretical foundation does a relatively good job of predicting the inflation rate over the period 1960 to 1988.
Book Synopsis The Term Structure of Interest Rates and Inflation Forecast Targeting by : Sylvester C. W. Eijffinger
Download or read book The Term Structure of Interest Rates and Inflation Forecast Targeting written by Sylvester C. W. Eijffinger and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Multi-country Comparison of Term Structure Forecasts at Long Horizons by : Philippe Jorion
Download or read book A Multi-country Comparison of Term Structure Forecasts at Long Horizons written by Philippe Jorion and published by . This book was released on 1991 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation processes across these countries, there is we find strong evidence that the term structure does have significant forecasting ability for future changes in inflation, particularly so at long maturities. On the other hand, the ability of the term structure to forecast future changes in 1-year interest rates is somewhat weaker; only at the very longest horizon (5 years) is there significant forecasting ability for interest rate changes.
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis A multi-country study of the information in the term structure about future inflation by : Frederic Mishkin
Download or read book A multi-country study of the information in the term structure about future inflation written by Frederic Mishkin and published by . This book was released on 1989 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Multi-country Study of the Information in the Term Structure Debt Future Inflation by : Frederic S. Mishkin
Download or read book A Multi-country Study of the Information in the Term Structure Debt Future Inflation written by Frederic S. Mishkin and published by . This book was released on 1989 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Future Inflation from the Current Term Structure by : Jose Manuel Rodrigo Marco
Download or read book Forecasting Future Inflation from the Current Term Structure written by Jose Manuel Rodrigo Marco and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Cyclical Behavior of the Term Structure of Interest Rates by : Reuben A. Kessel
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information Content in the Term Structure of Money Market Interest Rates on Future Inflation by : Juha Junttila
Download or read book Information Content in the Term Structure of Money Market Interest Rates on Future Inflation written by Juha Junttila and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis What Does the Term Structure Tell Us about Future Inflation? by :
Download or read book What Does the Term Structure Tell Us about Future Inflation? written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long-memory Inflation Uncertainty by : David Backus
Download or read book Long-memory Inflation Uncertainty written by David Backus and published by . This book was released on 1993 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a fractional difference model to reconcile two features of yields on US government bonds with modem asset pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this process might arise from the response of the heterogeneous agents to the changes in monetary policy.
