Yield Curve And Prediction Of Change In A Inflation Rate
AbstractThe aim scope of this paper is the empirical investigation between the yield curve and the future changes in inflation rate. The investigation is based on data of the Czech economy in the years 1993-1998. The strong evidence between these two economic variables was found with use of some nonparametric estimation methods. The results are used for prediction of future inflation rate from one month to one semester.
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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 6 (1999)
Issue (Month): 9 ()
yield curve; term structure; inflation rate; Fischer effect; splines; market expectation; rational expectations;
Find related papers by JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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