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What does the term structure tell us about future inflation?

Citations

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Cited by:

  1. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  2. Ege, Yazgan & Huseyin, Kaya, 2010. "Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market ?," MPRA Paper 24810, University Library of Munich, Germany.
  3. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
  4. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
  5. Kujtim Avdiu & Stephan Unger, 2022. "Predicting Inflation—A Holistic Approach," JRFM, MDPI, vol. 15(4), pages 1-14, March.
  6. Hamilton, James D & Kim, Dong Heon, 2002. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-360, May.
  7. David Barr & John Campbell, "undated". "Inflation, real interest rates and the bond market: a study of UK nominal and index-linked Government bond prices," CERF Discussion Paper Series 95-09, Economics and Finance Section, School of Social Sciences, Brunel University.
  8. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Chapters, in: NBER Macroeconomics Annual 1996, Volume 11, pages 155-208, National Bureau of Economic Research, Inc.
  9. Chew Lian Chua & Sandy Suardi, 2007. "Markov‐Switching Mean Reversion in Short‐Term Interest Rates: Evidence from East Asian Economies," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 383-397, December.
  10. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
  11. Ramchander, Sanjay & Simpson, Marc W. & Chaudhry, Mukesh K., 2005. "The influence of macroeconomic news on term and quality spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 84-102, February.
  12. Arturo Estrella, 1997. "Why do interest rates predict macro outcomes?: A unified theory of inflation, output, interest and policy," Research Paper 9717, Federal Reserve Bank of New York.
  13. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
  14. Diego Romero‐Ávila, 2007. "Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 980-1007, August.
  15. Jean-Claude Kouladoum, 2023. "Digital infrastructural development and inclusive growth in Sub-Saharan Africa," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 25(2), pages 403-427, December.
  16. Guglielmo Maria Caporale & Nikitas Pittis, 1998. "Term structure and interest differentials as predictors of future inflation changes and inflation differentials," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 615-625.
  17. Valkanov, Rossen, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management qt67b2h2gb, Anderson Graduate School of Management, UCLA.
  18. Yutaka Kurihara, 2016. "Term Structure of Interest Rates under Zero or Low Bound: The Recent Japanese Case," Economy, Asian Online Journal Publishing Group, vol. 3(1), pages 19-23.
  19. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  20. Pamela Jervis, 2007. "Inflation Compensation and Its Components in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 27-56, August.
  21. Schich, Sebastian T., 1996. "Alternative specifications of the German term structure and its information content regarding inflation," Discussion Paper Series 1: Economic Studies 1996,08e, Deutsche Bundesbank.
  22. Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
  23. Hardouvelis, Gikas & Malliaropoulos, Dimitrios, 2004. "The Yield Spread as a Symmetric Predictor of Output and Inflation," CEPR Discussion Papers 4314, C.E.P.R. Discussion Papers.
  24. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  25. Gerlach, Stefan, 2003. "Interpreting the term structure of interbank rates in Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 593-609, November.
  26. Richard D. Farmer, 2006. "Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 699-722, Fall.
  27. Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier, 2022. "Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes," Papers 2202.00793, arXiv.org.
  28. Martin D. Evans & Karen K. Lewis, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," Working Papers 92-22, New York University, Leonard N. Stern School of Business, Department of Economics.
  29. Tronzano, Marco, 2015. "The Term Structure of Interest Rates in India: Evidence from the Post-Liberalization Period (1996-2013). -La struttura a termine dei tassi di interesse in India: una analisi empirica sul recente perio," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 275-295.
  30. Pelin ÖGE GÜNEY, 2013. "The Term Structure of Interest Rates: A Cointegration Analysis in the Non-Linear STAR Framework," Journal of Economics and Behavioral Studies, AMH International, vol. 5(12), pages 851-860.
  31. Frederic S. Mishkin, 1990. "Yield Curve," NBER Working Papers 3550, National Bureau of Economic Research, Inc.
  32. Gasbarro, Dominic & Monroe, Gary S., 2004. "The impact of monetary policy candidness on Australian financial markets," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 35-46, February.
  33. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
  34. Anders Møller Christensen & Heino Bohn Nielsen, 2009. "Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs. Discretion," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 69-89, February.
  35. Campbell, John Y., 2001. "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
  36. Christine Sauer & Joachim Scheide, 1995. "Money, Interest Rate Spreads, and Economic Activity," CESifo Working Paper Series 83, CESifo.
  37. Maria de Fátima Silva, 2000. "Information on inflation expectations contained in the prices of financial assets," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  38. Yash P. Mehra, 1997. "The bond rate and actual future inflation," Working Paper 97-03, Federal Reserve Bank of Richmond.
  39. Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
  40. repec:bla:germec:v:7:y:2006:i::p:1-34 is not listed on IDEAS
  41. 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..
  42. van den Hauwe, Sjoerd & Paap, Richard & van Dijk, Dick, 2013. "Bayesian forecasting of federal funds target rate decisions," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 19-40.
  43. John Y. Campbell & João F. Cocco, 2003. "Household Risk Management and Optimal Mortgage Choice," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(4), pages 1449-1494.
  44. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  45. Pawel Dlotko & Simon Rudkin, 2019. "The Topology of Time Series: Improving Recession Forecasting from Yield Spreads," Working Papers 2019-02, Swansea University, School of Management.
  46. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 203-229.
  47. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
  48. Gonzalez, Jorge & Spencer, Roger & Walz, Daniel, 1999. "The information in the Mexican term structure of interest rates: capital market implications," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 149-161, April.
  49. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  50. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
  51. Gebhardt Kirschgässner & Marcel Savioz, 2001. "Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany," German Economic Review, Verein für Socialpolitik, vol. 2(4), pages 339-365, November.
  52. Michael KUEHL, 2008. "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
  53. Rendu de Lint, Christel & Stolin, David, 2003. "The predictive power of the yield curve: a theoretical assessment," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1603-1622, October.
  54. van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 11, European Central Bank.
  55. Giovanni Cicceri & Giuseppe Inserra & Michele Limosani, 2020. "A Machine Learning Approach to Forecast Economic Recessions—An Italian Case Study," Mathematics, MDPI, vol. 8(2), pages 1-20, February.
  56. Sowmya, Subramaniam & Prasanna, Krishna, 2018. "Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 178-192.
  57. George M. von Furstenberg & Michael T. Gapen, 1998. "Conditional Indexation Bias in Yields Reported on Inflation-Indexed Securities with Special Reference to UDIBONOS and TIPS," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(2), pages 149-188, July-Dece.
  58. Arabinda Basistha & Richard Startz, 2004. "Why were changes in the federal funds rate smaller in the 1990s?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 339-354.
  59. Duc Do, Nguyen, 2024. "Money/asset ratio as a predictor of inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  60. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
  61. Joseph G. Haubrich, 2021. "Does the Yield Curve Predict Output?," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 341-362, November.
  62. Li, Matthew C., 2016. "US term structure and international stock market volatility: The role of the expectations factor and the maturity premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 1-15.
  63. Tanner, J. Ernest & Pescatrice, Donn, 1998. "Was Monetary Policy Impotent or Simply Contracyclical in the 1980s?," Journal of Macroeconomics, Elsevier, vol. 20(1), pages 55-80, January.
  64. 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 307-314, October-D.
  65. Param Silvapulle & Ramya Hewarathna, 2002. "Robust estimation and inflation forecasting," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2277-2282.
  66. Gerlach, Stefan, 1997. "The Information Content of the Term Structure: Evidence for Germany," Empirical Economics, Springer, vol. 22(2), pages 161-179.
  67. Kai Carstensen, 2006. "Estimating the ECB Policy Reaction Function," German Economic Review, Verein für Socialpolitik, vol. 7(1), pages 1-34, February.
  68. Saira Tufail & Sadia Batool, 2013. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 1-35, July-Dec.
  69. Archawa Paweenawat, 2017. "The Information Content of the Term Structure of Interest Rates in Emerging Economies: The Case of Thailand," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(2), pages 136-150, August.
  70. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
  71. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato.
  72. KIM, Jae-Young & PARK, Woong Yong, 2018. "Some Empirical Evidence on Models of the Fisher Relation: Post-Data Comparison," Discussion paper series HIAS-E-68, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  73. Arnaud Mehl, 2009. "The Yield Curve as a Predictor and Emerging Economies," Open Economies Review, Springer, vol. 20(5), pages 683-716, November.
  74. Medhi Mili & Jean-Michel Sahut & Fred�ric Teulon, 2012. "New evidence of the expectation hypothesis of interest rates: a flexible nonlinear approach," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 165-176, January.
  75. Arturo Estrella, 2007. "Generalized canonical regression," Staff Reports 288, Federal Reserve Bank of New York.
  76. Francisco Alonso-Sánchez & Juan Ayuso-Huertas & Jorge Martínez-Pagés, 2000. "El contenido informativo de los tipos de interés sobre la tasa de inflación española," Investigaciones Economicas, Fundación SEPI, vol. 24(2), pages 455-471, May.
  77. 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.
  78. G. Peersman, 2011. "Bank Lending Shocks and the Euro Area Business Cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/766, Ghent University, Faculty of Economics and Business Administration.
  79. Willem Thorbecke, "undated". "Who Pays for Disinflation? Disinflationary Monetary Policy and the Distribution of Income," Economics Public Policy Brief Archive ppb_38, Levy Economics Institute.
  80. Arnaud Mehl, 2009. "The Yield Curve as a Predictor and Emerging Economies," Open Economies Review, Springer, vol. 20(5), pages 683-716, November.
  81. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 495-514.
  82. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
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  84. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  85. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  86. Ng, Eric C.Y., 2012. "Forecasting US recessions with various risk factors and dynamic probit models," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 112-125.
  87. Tkacz, Greg, 2004. "Inflation changes, yield spreads, and threshold effects," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 187-199.
  88. Smile Dube & Yan Zhou, 2013. "South Africa¡¯s Short and Long Term Interest Rates: A Threshold Cointegration Analysis," Business and Economic Research, Macrothink Institute, vol. 3(1), pages 187-211, June.
  89. Kuosmanen, Petri & Vataja, Juuso, 2011. "The role of stock markets vs. the term spread in forecasting macrovariables in Finland," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 124-132, May.
  90. Arturo Estrella, 2005. "Why Does the Yield Curve Predict Output and Inflation?," Economic Journal, Royal Economic Society, vol. 115(505), pages 722-744, July.
  91. Matthew C. Li, 2014. "The US zero-coupon yield spread as a predictor of excess daily stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 24(13), pages 889-906, July.
  92. Linda S. Goldberg & Michael W. Klein, 2005. "Establishing Credibility: Evolving Perceptions of the European Central Bank," NBER Working Papers 11792, National Bureau of Economic Research, Inc.
  93. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
  94. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  95. Crockett, Jean A., 1998. "Rational expectations, inflation and the nominal interest rate," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 349-363.
  96. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, 2007. "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England.
  97. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Staff Working Papers 97-10, Bank of Canada.
  98. Adam Klug & Carmel Nadav, 1999. "On the predictive power of the term structure during the 1930s," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 577-580.
  99. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
  100. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
  101. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  102. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 258-273, April.
  103. Dandan Liu & Dennis Jansen, 2011. "Does a factor Phillips curve help? An evaluation of the predictive power for U.S. inflation," Empirical Economics, Springer, vol. 40(3), pages 807-826, May.
  104. Willem Naude, 1995. "Financial liberalisation and interest rate risk management in Sub-Saharan Africa," Economics Series Working Papers WPS/1996-12, University of Oxford, Department of Economics.
  105. Kim, Kenneth A. & Limpaphayom, Piman, 1997. "The effect of economic regimes on the relation between term structure and real activity in Japan," Journal of Economics and Business, Elsevier, vol. 49(4), pages 379-392.
  106. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
  107. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  108. Kai Carstensen & Julia Hawellek, 2003. "Forecasting inflation from the term structure," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 139(2), pages 306-323, June.
  109. Burak Eroglu & Secil Yildirim-Karaman, 2017. "Responses Of Term Structure Of Interest Rates And Asset Prices To Monetary Policy Shocks: Evidence From Turkey," Working Papers 1705, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
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  111. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
  112. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Inflation Illusion and Stock Prices," American Economic Review, American Economic Association, vol. 94(2), pages 19-23, May.
  113. Soderlind, Paul, 2003. "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, vol. 55(4), pages 321-330.
  114. Maria Safdar & Muhammad Ayyoub, 2023. "Exploring Cointegration Between Gold Prices And Inflation: An Empirical Analysis Of G-8 Economies," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(2), pages 56-65.
  115. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
  116. Eric Jondeau & Roland Ricart, 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Working papers 61, Banque de France.
  117. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
  118. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
  119. Arturo Estrella & Frederic S. Mishkin, 1995. "The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York.
  120. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.
  121. El-Shagi, Makram, 2009. "Inflation Expectations: Does the Market Beat Professional Forecasts?," IWH Discussion Papers 16/2009, Halle Institute for Economic Research (IWH).
  122. Terence Chong, 2001. "Estimating the locations and number of change points by the sample-splitting method," Statistical Papers, Springer, vol. 42(1), pages 53-79, January.
  123. Laurence Harris & Manqoba Ntshakala, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series 63, World Institute for Development Economic Research (UNU-WIDER).
  124. Paolo Zagaglia, 2024. "The Predictive Power of the Yield Spread Under the Veil of Time," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 13(3), pages 1-1.
  125. Fabio Moneta, 2005. "Does the Yield Spread Predict Recessions in the Euro Area?," International Finance, Wiley Blackwell, vol. 8(2), pages 263-301, August.
  126. Greg Tkacz, 2007. "Gold Prices and Inflation," Staff Working Papers 07-35, Bank of Canada.
  127. Willem Thorbecke, 1997. "Disinflationary Monetary Policy and the Distribution of Income," Economics Working Paper Archive wp_185, Levy Economics Institute.
  128. Berlemann, Michael, 2008. "Forecasting the ECB's main refinancing rate. A field experiment," Economics Letters, Elsevier, vol. 99(2), pages 379-383, May.
  129. Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
  130. Wu, Yangru & Zhang, Hua, 1997. "Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
  131. Imad Moosa, 1998. "A composite leading indicator of Australian inflation," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 711-713.
  132. Lili Hao & Eric C.Y. Ng, 2011. "Predicting Canadian recessions using dynamic probit modelling approaches," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(4), pages 1297-1330, November.
  133. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 18(2), pages 33-66, December.
  134. Tronzano, Marco, 2015. "The Expectations Hypothesis of the Term Structure in Emerging Financial Markets: Some Evidence from Malaysia (1999-2015) - La struttura a termine dei tassi di interesse nei paesi emergenti: alcune evi," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(4), pages 521-550.
  135. Sandy Suardi, 2010. "Nonstationarity, cointegration and structural breaks in the Australian term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 42(22), pages 2865-2879.
  136. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
  137. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
  138. Edward N. Gamber, 1996. "The policy content of the yield curve slope," Review of Financial Economics, John Wiley & Sons, vol. 5(2), pages 163-179.
  139. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model," Bank of Japan Working Paper Series 04-E-11, Bank of Japan.
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