Information on inflation expectations contained in the prices of financial assets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mishkin, Frederic S., 1990.
"What does the term structure tell us about future inflation?,"
Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
- Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
- Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
- 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.
- Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
- Paul Soderlind & Lars E. O. Svensson, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers 5877, National Bureau of Economic Research, Inc.
- Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers.
- Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
- Söderlind, Paul & Svensson, Lars E.O., 1997. "New Techniques to Extract Market Expectations from Financial Instruments," Seminar Papers 621, Stockholm University, Institute for International Economic Studies.
- Mark Deacon & Andrew Derry, 1994. "Deriving Estimates of Inflation Expectations from the Prices of UK Government Bonds," Bank of England working papers 23, Bank of England.
- Melick, William R. & Thomas, Charles P., 1997. "Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(1), pages 91-115, March.
- Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
- Frederic S. Mishkin, 1990.
"The Information in the Longer Maturity Term Structure about Future Inflation,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(3), pages 815-828.
- Frederic S. Mishkin, 1989. "The Information in the Longer Maturity Term Structure about Future Inflation," NBER Working Papers 3126, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:ptu:bdpart:b200007 is not listed on IDEAS
- Nuno Cassola & Jorge Barros Luis, 2003.
"A two-factor model of the German term structure of interest rates,"
Applied Financial Economics, Taylor & Francis Journals, vol. 13(11), pages 783-806.
- Barros Luís, Jorge & Cassola, Nuno, 2001. "A two-factor model of the German term structure of interest rates," Working Paper Series 46, European Central Bank.
- Cassola, N. & Luis, J.B., 2001. "A Two-Factor Model of the German Term Structure of Interest Rates," Papers 46, Quebec a Montreal - Recherche en gestion.
- Seppala, Juha, 2004.
"The term structure of real interest rates: theory and evidence from UK index-linked bonds,"
Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
- Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
- repec:zbw:bofrdp:2000_022 is not listed on IDEAS
- Seppälä, Juha, 2000. "The term structure of real interest rates : Theory and evidence form UK index-linked bonds," Research Discussion Papers 22/2000, Bank of Finland.
- Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
- Berlemann, Michael, 2001. "Forecasting inflation via electronic markets: Results from a prototype market," Dresden Discussion Paper Series in Economics 06/01, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Tkacz, Greg, 2004.
"Inflation changes, yield spreads, and threshold effects,"
International Review of Economics & Finance, Elsevier, vol. 13(2), pages 187-199.
- Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Staff Working Papers 02-40, Bank of Canada.
- Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
- 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.
- Arturo Estrella & Frederic S. Mishkin, 1995. "Predicting U.S. Recessions: Financial Variables as Leading Indicators," NBER Working Papers 5379, National Bureau of Economic Research, Inc.
- Arturo Estrella & Frederic S. Mishkin, 1996. "Predicting U.S. recessions: financial variables as leading indicators," Research Paper 9609, Federal Reserve Bank of New York.
- 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.
- Stefan Gerlach, 2001. "Interpreting the Term Structure of Interbank Rates in Hong Kong," Working Papers 142001, Hong Kong Institute for Monetary Research.
- Gerlach, Stefan, 2002. "Interpreting the Term Structure of Interbank Rates in Hong Kong," CEPR Discussion Papers 3187, C.E.P.R. Discussion Papers.
- Kursat Kunter & Norbert Janssen, 2002. "Credibility Of Monetary Regimes : Is Inflation Targeting Different?," Discussion Papers 0201, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- repec:zbw:bofrdp:2006_025 is not listed on IDEAS
- Arturo Estrella & Frederic S. Mishkin, 1995.
"The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank,"
NBER Working Papers
5279, National Bureau of Economic Research, Inc.
- 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.
- Langfeldt, Enno, 1994. "Die Zinsstruktur als Frühindikator für Konjunktur und Preisentwicklung in Deutschland," Kiel Working Papers 615, Kiel Institute for the World Economy (IfW Kiel).
- repec:adr:anecst:y:1999:i:54:p:02 is not listed on IDEAS
- Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
- 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.
- repec:zbw:bofitp:2006_018 is not listed on IDEAS
- 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.
- Gerlach, Stefan, 1997.
"The Information Content of the Term Structure: Evidence for Germany,"
Empirical Economics, Springer, vol. 22(2), pages 161-179.
- Gerlach, Stefan, 1995. "The Information Content of the Term Structure: Evidence for Germany," CEPR Discussion Papers 1264, C.E.P.R. Discussion Papers.
- Stefan Gerlach, 1995. "The information content of the term structure: evidence for Germany," BIS Working Papers 29, Bank for International Settlements.
- Catherine Bruneau & Eric Jondeau, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annals of Economics and Statistics, GENES, issue 54, pages 23-45.
- Arnaud Mehl, 2009.
"The Yield Curve as a Predictor and Emerging Economies,"
Open Economies Review, Springer, vol. 20(5), pages 683-716, November.
- Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," Working Paper Series 691, European Central Bank.
- Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," BOFIT Discussion Papers 18/2006, Bank of Finland Institute for Emerging Economies (BOFIT).
- 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).
- 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.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ptu:bdpart:ab200007. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: DEE-NTD (email available below). General contact details of provider: https://edirc.repec.org/data/bdpgvpt.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.