AN INDICATOR OF FUTURE INFLATION EXTRACTED FROM THE STEEPNESS OF THE INTEREST-RATE YIELD CURVE ALONG ITS ENTIRE LENGTH

• 成果类型: Article
• 署名作者: FRANKEL, JA; LOWN, CS
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• 发表日期: 1994
• 页码: 517-530
• 关键词: TERM-STRUCTURE FORECASTS; INFORMATION

摘要

The term-structure slope contains information about expected future inflation. Mishkin shows that the spread between the twelve-month and three-month interest rates helps predict the difference between twelve-month and three-month inflation. We apply a simple existing framework, which lets the real interest rate vary in the short run but converge to a constant in the long run, to this problem. The appropriate indicator of expected inflation uses the entire length of the yield curve, estimating the steepness of a specific nonlinear transformation, rather than being restricted to a spread between two points. The resulting indicator better predicts inflation, over 1960-1991.