The Information Content of the Term Structure of Interest Rates: Theory and Practice
The paper is devoted to an empirical examination of the information content in the term structure of nominal interest rates for future inflation. Tests of the ability of the term structure to forecast future changes in the inflation rate are carried out for six major OECD countries using monthly dat...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
1989
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The paper is devoted to an empirical examination of the information content in the term structure of nominal interest rates for future inflation. Tests of the ability of the term structure to forecast future changes in the inflation rate are carried out for six major OECD countries using monthly data. These tests demonstrate that the term structure does have considerable forecasting ability, particularly for rates taken from the short end of the maturity spectrum. However, with one exception, forecasting power tends to fade or disappear completely when the term structure in question is formed using yields on increasingly distant maturities as the long rate. This suggests that changes in the nominal term structure using such rates reflect mostly changes in the term structure of (ex post) real interest rates ... |
| Beschreibung: | 1 Online-Ressource (36 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/748671027822 |
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| doi_str_mv | 10.1787/748671027822 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:35:07Z |
| indexdate | 2024-12-18T19:04:39Z |
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| language | English |
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| physical | 1 Online-Ressource (36 Seiten) 21 x 29.7cm |
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| spelling | Browne, Frank Verfasser aut The Information Content of the Term Structure of Interest Rates Theory and Practice Frank Browne and Paolo Manasse = Souplesse de la production et inflation : Étude globale / Frank Browne et Paolo Manasse Souplesse de la production et inflation Paris OECD Publishing 1989 1 Online-Ressource (36 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Economics Department Working Papers The paper is devoted to an empirical examination of the information content in the term structure of nominal interest rates for future inflation. Tests of the ability of the term structure to forecast future changes in the inflation rate are carried out for six major OECD countries using monthly data. These tests demonstrate that the term structure does have considerable forecasting ability, particularly for rates taken from the short end of the maturity spectrum. However, with one exception, forecasting power tends to fade or disappear completely when the term structure in question is formed using yields on increasingly distant maturities as the long rate. This suggests that changes in the nominal term structure using such rates reflect mostly changes in the term structure of (ex post) real interest rates ... Economics Manasse, Paolo ctb https://doi.org/10.1787/748671027822 Verlag kostenfrei Volltext |
| spellingShingle | Browne, Frank The Information Content of the Term Structure of Interest Rates Theory and Practice Economics |
| title | The Information Content of the Term Structure of Interest Rates Theory and Practice |
| title_alt | Souplesse de la production et inflation |
| title_auth | The Information Content of the Term Structure of Interest Rates Theory and Practice |
| title_exact_search | The Information Content of the Term Structure of Interest Rates Theory and Practice |
| title_exact_search_txtP | The Information Content of the Term Structure of Interest Rates Theory and Practice |
| title_full | The Information Content of the Term Structure of Interest Rates Theory and Practice Frank Browne and Paolo Manasse = Souplesse de la production et inflation : Étude globale / Frank Browne et Paolo Manasse |
| title_fullStr | The Information Content of the Term Structure of Interest Rates Theory and Practice Frank Browne and Paolo Manasse = Souplesse de la production et inflation : Étude globale / Frank Browne et Paolo Manasse |
| title_full_unstemmed | The Information Content of the Term Structure of Interest Rates Theory and Practice Frank Browne and Paolo Manasse = Souplesse de la production et inflation : Étude globale / Frank Browne et Paolo Manasse |
| title_short | The Information Content of the Term Structure of Interest Rates |
| title_sort | the information content of the term structure of interest rates theory and practice |
| title_sub | Theory and Practice |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/748671027822 |
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