Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US
This study considers whether the slope of the yield curve for New Zealand contains useful economic information. In order to provide some perspective, the present study also contrasts the New Zealnd experience with evidence based on US and Australian data. The princial findings of this study are as follows: - At short horizons, typically 2 years or less, the term structure for New Zealand behaves as in the expectations hypothesis of the term structure. - Nevertheless, there are departures from the expectations hypothesis, especially in the period when inflation objectives in New Zealand were on a declining path. Moreover, the policies of the US had a critically important impact around 1993-94. - Some evidence was found of an effect from the spread to future inflation but only when the headline CPI is used to measure inflation; the links disappear entirely once CPI ex credit costs are employed. The study argues that such results are consistent with a credible inflation targeting regime so that term structure serves possibly to signal changes in real interest rates rather than inflation in New Zealand. - There is good evidence that the spread helps predict future output in New Zealand, although the effect seems to dissipate after one year. once we distinguish between periods of positive versus negative growth rates in real GDP, the spread influences output up to two years into the future. Also, when output growth is measured asymmetrically, rising inflation expectations depress output growth.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||01 Dec 1999|
|Publication status:||Published as: Siklos, P., 2000, "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US", International Journal of Finance and Economics, 5(1), 15-32.|
|Contact details of provider:|| Postal: PO Box 123, Broadway, NSW 2007, Australia|
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.qfrc.uts.edu.au/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:25. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford)
If references are entirely missing, you can add them using this form.