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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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    References listed on IDEAS

    as
    1. Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
    2. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.
    3. Acharya, Viral V. & Bharath, Sreedhar T. & Srinivasan, Anand, 2007. "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries," Journal of Financial Economics, Elsevier, pages 787-821.
    4. Jiri Witzany, 2011. "A Two Factor Model for PD and LGD Correlation," Bulletin of the Czech Econometric Society, The Czech Econometric Society.
    5. Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago.
    6. Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer;Western Finance Association, pages 1-34.
    7. Seidler, Jakub & Horvath, Roman & Jakubík, Petr, 2009. "Estimating expected loss given default in an emerging market: the case of Czech Republic," Journal of Financial Transformation, Capco Institute, vol. 27, pages 103-107.
    8. De Graeve, F. & Kick, T. & Koetter, M., 2008. "Monetary policy and financial (in)stability: An integrated micro-macro approach," Journal of Financial Stability, Elsevier, pages 205-231.
    Full references (including those not matched with items on IDEAS)

    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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