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What the Yield Curves say About Inflation: Does it Change Over Time?


  • Sebastian Schich


The paper investigates the information content of yield curves regarding future inflation, using the example of the G-7 countries. The empirical results show substantial variation of results across countries, and a significant information content is identified for the United States, the United Kingdom, Germany and Canada. The results also vary with the choice of the sample period. Nevertheless, the relationship appears to be structurally stable in Germany and Canada. By contrast, there is evidence for structural instability in the United States and the United Kingdom, possibly reflecting changes in their monetary policy regimes ... En prenant comme exemple les 7 grands, ce document examine le contenu informatif des courbes des rendements en regard à l'inflation à venir. Les résultats empiriques montrent des résultats dont les variations sont substantielles d'un pays à l'autre. On peut identifier un contenu informatif significatif dans le cas des États-Unis, du Royaume-Uni, de l'Allemagne et du Canada. Ces résultats varient aussi en fonction du choix de la période de référence. Néanmoins les relations semblent être structurellement stables en Allemagne et au Canada. Par contre, on trouve aux États-Unis et au Royaume-Uni des preuves d'instabilité structurelle qui peuvent refléter des changements dans leur régime de politique monétaire ...

Suggested Citation

  • Sebastian Schich, 2000. "What the Yield Curves say About Inflation: Does it Change Over Time?," OECD Economics Department Working Papers 227, OECD Publishing.
  • Handle: RePEc:oec:ecoaaa:227-en

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    Cited by:

    1. Dalu Zhang & Peter Moffatt, 2012. "The yield curve as a leading indicator in economic forecasting in the U.K," University of East Anglia Applied and Financial Economics Working Paper Series 035, School of Economics, University of East Anglia, Norwich, UK..
    2. Christian Mose Nielsen, 2005. "The information content of the term structure of interest rates about future inflation – an illustration of the importance of accounting for a time-varying real interest rate and inflation risk premiu," Money Macro and Finance (MMF) Research Group Conference 2005 86, Money Macro and Finance Research Group.
    3. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
    4. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA.

    More about this item


    contenu informatif en terme de structure des taux d'intérêt; indicateurs de la politique monétaire; information content of term structure of interest rates; monetary policy indicators; monetary policy regimes; régime de politique monétaire; structural stability test; test de stabilité structurelle;

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects


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