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

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  • Sebastian Schich
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    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 ...

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    Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 227.

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    Date of creation: 12 Jan 2000
    Handle: RePEc:oec:ecoaaa:227-en
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