Forecasting inflation using the term structure and MARS
This study revisits the issue of forecasting changes in inflation using non-linear non-parametric methods. The results indicate the presence of threshold effects in the relationship between the information in the term structure and changes in the rate of inflation.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 12 (2005)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
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.:
- Tkacz, Greg, 2000. "Non-Parametric and Neural Network Models of Inflation Changes," Staff Working Papers 00-7, Bank of Canada.
- Frederic S. Mishkin, 1988.
"What Does the Term Structure Tell Us About Future Inflation?,"
NBER Working Papers
2626, National Bureau of Economic Research, Inc.
- Mishkin, Frederic S., 1990. "What does the term structure tell us about future inflation?," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
- Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
- Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
- Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
- repec:tpr:qjecon:v:105:y:1990:i:3:p:815-28 is not listed on IDEAS
- Frederic S. Mishkin, 1989.
"The Information in the Longer Maturity Term Structure about Future Inflation,"
NBER Working Papers
3126, National Bureau of Economic Research, Inc.
- Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
- Frederic S. Mishkin, 1989. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
- William Poole, 2001. "Monetary policy in uncertain times," Speech 63, Federal Reserve Bank of St. Louis.
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:12:y:2005:i:4:p:199-202. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.