An indicator of future inflation extracted from the steepness of the interest rate yield curve along its entire length
The term-structure slope contains information about expected future inflation. Mishkin shows that the spread between the twelve-month and three-month interest rates helps predict the difference between twelve-month and three-month inflation. We apply a simple existing framework, which lets the real interest rate vary in the short run but converge to a constant in the long run, to this problem. The appropriate indicator of expected inflation uses the entire length of the yield curve, estimating the steepness of a specific nonlinear transformation, rather than being restricted to a spread between two points. The resulting indicator better predicts inflation, over 1960–1991.
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- Mishkin, Frederic S., 1990.
"Does correcting for heteroscedasticity help?,"
Elsevier, vol. 34(4), pages 351-356, December.
- Frederic S. Mishkin, 1988.
"The Information in the Term Structure: Some Further Results,"
NBER Working Papers
2575, National Bureau of Economic Research, Inc.
- Mishkin, Frederic S, 1988. "The Information in the Term Structure: Some Further Results," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 307-14, October-D.
- Mishkin, F.S., 1988. "The Information In The Term Structure: Some Further Results," Papers fb-_88-26, Columbia - Graduate School of Business.
- Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
- Philippe Jorion & Frederic Mishkin, 1991.
"A Multi-Country Comparison of Term Structure Forecasts at Long Horizons,"
NBER Working Papers
3574, National Bureau of Economic Research, Inc.
- Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
- Mishkin, F.S., 1988.
"What Does The Term Structure Tell Us About Future Inflation?,"
fb-_88-29, Columbia - Graduate School of Business.
- 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.
- Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
- Hardouvelis, Gikas A, 1988.
" The Predictive Power of the Term Structure during Recent Monetary Regimes,"
Journal of Finance,
American Finance Association, vol. 43(2), pages 339-56, June.
- Gikas A. Hardouvelis, 1987. "The predictive power of the term structure during recent monetary regimes," Research Paper 8708, Federal Reserve Bank of New York.
- Froot, Kenneth A, 1989.
" New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates,"
Journal of Finance,
American Finance Association, vol. 44(2), pages 283-305, June.
- Kenneth A. Froot, 1987. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A, 1982.
"A Technique for Extracting a Measure of Expected Inflation from the Interest Rate Term Structure,"
The Review of Economics and Statistics,
MIT Press, vol. 64(1), pages 135-42, February.
- 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.).
- N. Gregory Mankiw & Lawrence H. Summers, 1984.
"Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 15(1), pages 223-248.
- N. Gregory Mankiw & Lawrence H. Summers, 1984. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," NBER Working Papers 1345, National Bureau of Economic Research, Inc.
- Shiller, Robert J. & Huston McCulloch, J., 1990.
"The term structure of interest rates,"
Handbook of Monetary Economics,
in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722
- Frederic S. Mishkin, 1990. "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics, Oxford University Press, vol. 105(3), pages 815-828.
- Manuel H. Johnson, 1988. "Current Perspectives on Monetary Policy," Cato Journal, Cato Journal, Cato Institute, vol. 8(2), pages 253-260, Fall.
- 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.
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