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Nominal Interest Rates as Indicators of Inflation Expectations

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  • Paul Söderlind

Abstract

The properties of nominal interest rates as indicators of inflation expectations are evaluated. Are they unbiased? How precise are they? To arrive at robust results, a range of different methods are applied on several US and UK data sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations. However, changes in interest rates are poor indicators of changes inflation expectations.

Suggested Citation

  • Paul Söderlind, 1998. "Nominal Interest Rates as Indicators of Inflation Expectations," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(2), pages 457-472, June.
    • Handle: RePEc:bla:scandj:v:100:y:1998:i:2:p:457-472
    DOI: 10.1111/1467-9442.00114
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    Cited by:

    1. Soderlind, Paul, 2001. "Monetary policy and the Fisher effect," Journal of Policy Modeling, Elsevier, vol. 23(5), pages 491-495, July.
    2. 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.
    3. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
    4. Mihai Ioan Mutascu & Scott W. Hegerty, 2024. "Expected inflation and interest-rate dynamics in the COVID era: evidence from the time–frequency domain," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(2), pages 559-582, May.

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