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Nominal Interest Rates as Indicators of Inflation Expectations

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  • Soderlind, Paul

Abstract

The properties of nominal interest rates as indicators of inflation expectations are evaluated. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several U.S. and U.K. data sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations. However, changes in interest rates are poor indicators of changes in inflation expectations. Copyright 1998 by The editors of the Scandinavian Journal of Economics.

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  • Soderlind, Paul, 1998. " Nominal Interest Rates as Indicators of Inflation Expectations," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(2), pages 457-472, June.
  • Handle: RePEc:bla:scandj:v:100:y:1998:i:2:p:457-72
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    Cited by:

    1. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
    2. Antonio Ribba, 2011. "On some neglected implications of the Fisher effect," Empirical Economics, Springer, vol. 40(2), pages 451-470, April.
    3. Soderlind, Paul, 2001. "Monetary policy and the Fisher effect," Journal of Policy Modeling, Elsevier, vol. 23(5), pages 491-495, July.
    4. Soderlind, Paul, 2003. "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, vol. 55(4), pages 321-330.

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