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Yield Curve And Prediction Of Change In A Inflation Rate

Author

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  • Jan Brůha

Abstract

The aim scope of this paper is the empirical investigation between the yield curve and the future changes in inflation rate. The investigation is based on data of the Czech economy in the years 1993-1998. The strong evidence between these two economic variables was found with use of some nonparametric estimation methods. The results are used for prediction of future inflation rate from one month to one semester.

Suggested Citation

  • Jan Brůha, 1999. "Yield Curve And Prediction Of Change In A Inflation Rate," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 6(9).
  • Handle: RePEc:czx:journl:v:6:y:1999:i:9:id:71
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/71
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    More about this item

    Keywords

    yield curve; term structure; inflation rate; Fischer effect; splines; market expectation; rational expectations;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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