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A technique for extracting a measure of expected inflation from the interest rate term structure

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  • Jeffrey A. Frankel

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  • Jeffrey A. Frankel, 1979. "A technique for extracting a measure of expected inflation from the interest rate term structure," International Finance Discussion Papers 148, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgif:148
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1979/148/ifdp148.pdf
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    Cited by:

    1. Christopher Ragan, "undated". "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Staff Working Papers 95-1, Bank of Canada.
    2. Andrea J. Heuson, 1988. "The Term Premia Relationship Implicit In The Term Structure Of Treasury Bills," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 13-20, March.
    3. Maveyraud-Tricoire, Samuel & Rous, Philippe, 2009. "RIP and the shift toward a monetary union: Looking for a "euro effect" by a structural break analysis with panel data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 336-350, April.
    4. Jeffrey A. Frankel & Cara S. Lown, 1994. "An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length," The Quarterly Journal of Economics, Oxford University Press, vol. 109(2), pages 517-530.
    5. Al-Awad, Mouawiya & Grennes, Thomas J., 2002. "Real interest parity and transaction costs for the group of 10 countries," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 363-372.
    6. Houston H. Stokes, 1990. "Measuring Expected Inflation; Further Tests in the Frequency Domain of a Proposed New Measure," Eastern Economic Journal, Eastern Economic Association, vol. 16(4), pages 339-348, Oct-Dec.
    7. Kuo, Shew-Huei, 2000. "An examination of the evolving relationship between interest rates of different maturities in Japan, and test of the expectations hypothesis of the term structure to ascertain the feasibility of using," ISU General Staff Papers 2000010108000014910, Iowa State University, Department of Economics.
    8. Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
    9. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
    10. Al Awad, Mouawiya & Goodwin, Barry K., 1998. "Dynamic linkages among real interest rates in international capital markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 881-907, December.
    11. Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303.

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