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Forecasting inflation using the term structure and MARS

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  • Peter Sephton

Abstract

This study revisits the issue of forecasting changes in inflation using non-linear non-parametric methods. The results indicate the presence of threshold effects in the relationship between the information in the term structure and changes in the rate of inflation.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 4 ()
Pages: 199-202

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Handle: RePEc:taf:apeclt:v:12:y:2005:i:4:p:199-202

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References

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  1. Mishkin, Frederic S, 1990. "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics, MIT Press, vol. 105(3), pages 815-28, August.
  2. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
  3. Tkacz, Greg, 2000. "Non-Parametric and Neural Network Models of Inflation Changes," Working Papers 00-7, Bank of Canada.
  4. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
  5. Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
  6. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
  7. Frederic S. Mishkin, 1991. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
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Cited by:
  1. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
  2. David Jamieson Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Working Papers 07-13, Bank of Canada.

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