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Forecasting inflation using the term structure and MARS

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  • Peter Sephton

Abstract

This study revisits the issue of forecasting changes in inflation using non-linear non-parametric methods. The results indicate the presence of threshold effects in the relationship between the information in the term structure and changes in the rate of inflation.

Suggested Citation

  • Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:4:p:199-202
    DOI: 10.1080/1350485042000318448
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    References listed on IDEAS

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    1. Frederic S. Mishkin, 1989. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
    2. 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.
    3. 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.
    4. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, vol. 83(Mar), pages 39-49.
    5. William Poole, 2001. "Monetary policy in uncertain times," Speech 63, Federal Reserve Bank of St. Louis.
    6. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
    7. 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.
    8. Greg Tkacz, 2000. "Non-Parametric and Neural Network Models of Inflation Changes," Staff Working Papers 00-7, Bank of Canada.
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    Cited by:

    1. David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-14, Bank of Canada.
    2. Jan-Erik Antipin & Farid Jimmy Boumediene & Pär Österholm, 2014. "Forecasting Inflation Using Constant Gain Least Squares," Australian Economic Papers, Wiley Blackwell, vol. 53(1-2), pages 2-15, June.
    3. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
    4. Sephton, Peter & Mann, Janelle, 2018. "Gold and crude oil prices after the great moderation," Energy Economics, Elsevier, vol. 71(C), pages 273-281.
    5. Sephton, Peter S., 2019. "El Niño, La Niña, and a cup of Joe," Energy Economics, Elsevier, vol. 84(C).

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