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Author: Se-jin Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 116
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Author: Se-jin Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 116
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Book Description
Author: Jae Won Park
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 33
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Author: Dennis Bams
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 44
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Author: Jae Won Park
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 33
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Book Description
Author: Lakshman Alles
Publisher:
ISBN: 9781863422260
Category : Acceptances
Languages : en
Pages : 11
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Author: Dimitris Margaritis
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 32
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Author: Chung-Hun Hong
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jill M. Jacobs
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
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Author: Christian Mose Nielsen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
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