A technique for extracting a measure of expected inflation from the interest rate term structure

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A technique for extracting a measure of expected inflation from the interest rate term structure

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Jeffrey A. Frankel

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Jeffrey Alexander Frankel

Abstract

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 148.

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Date of creation: 1979
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Handle: RePEc:fip:fedgif:148

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Article
- Frankel, Jeffrey A, 1982. "A Technique for Extracting a Measure of Expected Inflation from the Interest Rate Term Structure," The Review of Economics and Statistics, MIT Press, vol. 64(1), pages 135-42, February. [Downloadable!] (restricted)

Cited by:
(explanations, 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.)

Jeffrey A. Frankel & Cara S. Lown, 1991. "An Indicator of Future Inflation Extracted From the Steepness of the Interest Rate Yield Curve Along Its Entire Length," NBER Working Papers 3751, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Jeffrey A. Frankel & Cara S. Lown, 1991. "An indicator of future inflation extracted from the steepness of the interest rate yield curve along its entire length," Research Paper 9122, Federal Reserve Bank of New York.
- Frankel, Jeffrey A & Lown, Cara S, 1994. "An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve along Its Entire Length," The Quarterly Journal of Economics, MIT Press, vol. 109(2), pages 517-30, May. [Downloadable!] (restricted)
Houston H. Stokes, 1990. "Measuring Expected Inflation; Further Tests in the Frequency Domain of a Proposed New Measure," Eastern Economic Journal, Eastern Economic Association, vol. 16(4), pages 339-348, Oct-Dec. [Downloadable!]
Francis Breedon & Jag Chadha, . "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England. [Downloadable!]
James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
Other versions:
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- James H. Stock & Mark W. Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
Christopher Ragan, . "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Working Papers 95-1, Bank of Canada. [Downloadable!]
Other versions:
- Christopher Ragan, 1995. "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Macroeconomics 9502003, EconWPA. [Downloadable!]

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