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The Term Structure of Interest Rates : Does It Tell About Future Inflation

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Cihan Yalcin
Gulbin Sahinbeyoglu

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File URL: http://www.tcmb.gov.tr/research/discus/dpaper38.pdf
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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Discussion Papers with number 0002.

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Date of creation: 2000
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Handle: RePEc:tcb:dpaper:0002

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  1. Peter A. Abken, 1993. "Inflation and the yield curve," Economic Review, Federal Reserve Bank of Atlanta, issue May, pages 13-31.
  2. Nelson, Charles R & Schwert, G William, 1977. "Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant," American Economic Review, American Economic Association, vol. 67(3), pages 478-86, June. [Downloadable!] (restricted)
  3. Paul Mylonas & Sebastian Schich, 1999. "The Use of Financial Market Indicators by Monetary Authorities," OECD Economics Department Working Papers 223, OECD, Economics Department. [Downloadable!]
  4. Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-14, Nov.-Dec.. [Downloadable!]
  5. 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)
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  6. Fama, Eugene F. & Gibbons, Michael R., 1982. "Inflation, real returns and capital investment," Journal of Monetary Economics, Elsevier, vol. 9(3), pages 297-323. [Downloadable!] (restricted)
  7. Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-82, June. [Downloadable!] (restricted)
  8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
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