IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The information content of the German term structure regarding inflation

  • Sebastian Schich
Registered author(s):

    The paper investigates the information content of the German term structure regarding inflation, defined as the ability of the yield curve's slope to predict future changes in inflation rates. The empirical tests show that the German yield curve is informative in that sense, especially in its middle segment between three and eight years. A new robustness test is considered. Besides the specification in terms of yields-to-maturity, which has traditionally been employed by the Bundesbank and by previous empirical research, zero-coupon rates (are considered) estimated using the Svensson (IMF Working Paper No. 114, 1994) approach. This takes account of the fact that tests of the expectations hypothesis are in fact tests of joint hypotheses, among them, that the yield curve specification used gives an unbiased picture of the relevant information and that the specific formulation of the expectations hypothesis is valid. Despite the considerable differences between the two yield curve specifications, the results regarding the information content are overall robust with respect to the choice of the specification.

    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.

    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332276
    Download Restriction: Access to full text is restricted to subscribers.

    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.

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 9 (1999)
    Issue (Month): 4 ()
    Pages: 385-395

    as
    in new window

    Handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:385-395
    Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAFE20

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:9:y:1999:i:4:p:385-395. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.