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The Term Structure of Interest Rates and Future Inflation

Author

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  • Viktor Kotlán

    (Technical University of Ostrava, CZ and the Czech national bank)

Abstract

Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations is the term structure of interest rates. This paper presents the methodology and empirical results for the Czech Republic of using the term structure of interest for deriving future inflation expectations.

Suggested Citation

  • Viktor Kotlán, 2000. "The Term Structure of Interest Rates and Future Inflation," Macroeconomics 0004014, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpma:0004014
    Note: Type of Document - MS Word; prepared on IBM PC ; to print on HP; pages: 15; figures: included. Published: Eastern European Economics, Vol. 37, No. 5, September-October 1999, pp. 36-51
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    References listed on IDEAS

    as
    1. Bernard, Henri & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
    2. 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.
    3. Joseph Atta-Mensah & Greg Tkacz, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Staff Working Papers 98-5, Bank of Canada.
    4. Jeffrey A. Frankel & Cara S. Lown, 1994. "An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(2), pages 517-530.
    5. Sharon Kozicki, 1998. "Predicting inflation with the term structure spread," Research Working Paper 98-02, Federal Reserve Bank of Kansas City.
    6. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
    7. Barry Cozier & Greg Tkacz, "undated". "The Term Structure and Real Activity in Canada," Staff Working Papers 94-3, Bank of Canada.
    8. Sharon Kozicki, 1997. "Predicting real growth and inflation with the yield spread," Economic Review, Federal Reserve Bank of Kansas City, vol. 82(Q IV), pages 39-57.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    term structure of interest rates; yield curve; inflation;
    All these keywords.

    JEL classification:

    • E - Macroeconomics and Monetary Economics

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