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Forecasting inflation from the term structure

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  • Kai Carstensen

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  • Julia Hawellek

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File URL: http://hdl.handle.net/10.1007/BF02659747
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Bibliographic Info

Article provided by Springer in its journal Review of World Economics.

Volume (Year): 139 (2003)
Issue (Month): 2 (June)
Pages: 306-323

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Handle: RePEc:spr:weltar:v:139:y:2003:i:2:p:306-323

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Related research

Keywords: Inflation forecast; term premium; cointegration;

References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-77, Sept.-Oct.
  2. Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
  3. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
  4. repec:cup:etheor:v:11:y:1995:i:2:p:331-46 is not listed on IDEAS
  5. Hansen, Gerd & Kim, Jeong-Ryeol & Mittnik, Stefan, 1998. "Testing cointegrating coefficients in vector autoregressive error correction models," Economics Letters, Elsevier, vol. 58(1), pages 1-5, January.
  6. Mishkin, Frederic S., 1990. "What does the term structure tell us about future inflation?," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
  7. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  9. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
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Cited by:
  1. Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The term structure as a predictor of real activity and inflation in the euro area: a reassessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92 Bank for International Settlements.

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