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Nominal Interest Rates as Indicators of Inflation Expectations

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  • Soderlind, Paul

Abstract

The properties of nominal interest rates as indicators of inflation expectations are evaluated. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several U.S. and U.K. data sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations. However, changes in interest rates are poor indicators of changes in inflation expectations. Copyright 1998 by The editors of the Scandinavian Journal of Economics.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.

Volume (Year): 100 (1998)
Issue (Month): 2 (June)
Pages: 457-72

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Handle: RePEc:bla:scandj:v:100:y:1998:i:2:p:457-72

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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442

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Cited by:
  1. Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," Working Paper Series in Economics and Finance 159, Stockholm School of Economics, revised 04 Mar 1999.
  2. Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
  3. Antonio Ribba, 2009. "On Some Neglected Implications of the Fisher Effect," Center for Economic Research (RECent) 033, University of Modena and Reggio E., Dept. of Economics.
  4. Soderlind, Paul, 2003. "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, vol. 55(4), pages 321-330.

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