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Term Structure Forecasts of Inflation: Some Further Results
Author(s) -
Blake N.,
Henry S.G.B.,
Robertson D.
Publication year - 2002
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/1467-9957.00327
Subject(s) - yield curve , inflation (cosmology) , economics , yield (engineering) , econometrics , index (typography) , series (stratigraphy) , monetary economics , interest rate , computer science , physics , geology , paleontology , theoretical physics , world wide web , thermodynamics
New evidence is presented on the information content of expected inflation derived from index–linked and conventional yield curves. Using monthly data the tests are done over three expectations horizons: 6, 12 and 24 months. In each case we find that there is little information content in this yield–curve–based expected inflation data. In the 12– and 24–month cases, the tests call on an alternative expected inflation series derived from consumer expectations surveys. We show that the use of the latter data renders the yield–curve–based data insignificant over these horizons.