Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates
In this paper, the author uses the term structure of nominal interest rates to construct estimates of agents' expectations of inflation over several medium-term forecast horizons. The Expectations Hypothesis is imposed together with the assumption that expected future real interest rates are given by current real rates. Under these maintained assumptions, it is possible to compare the nominal yields on two assets of different maturities and attribute the difference in nominal yields to differences in expected inflation over the two horizons (assuming a constant term premium). The results for the United States and Canada over the past several years suggest that there is a significant static element to agents' inflation expectations. A l'aide de la structure par terme des taux d'interet nominaux, l'auteur etablit sur plusieurs horizons de prevision a moyen terme des estimations des anticipations d'inflation que forment les agents economiques. L'hypothese d'anticipations de la courbe de rendement est retenue conjointement avec celle selon laquelle les taux d'interet reels futurs anticipes sont donnes par les taux reels du moment. Sous ces deux hypotheses, il est possible de comparer les taux de rendement nominaux de deux actifs a echeances differentes et d'attribuer l'ecart entre ces taux aux divergences entre les taux d'inflation anticipes sur les deux horizons (en supposant que la prime payable a l'echeance est constante). Les resultats obtenus pour les Etats-Unis et le Canada au cours des dernieres annees laissent croire que les anticipations d'inflation des agents economiques sont en grande partie statiques.
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