Arbeitspapier
What Do German Short-Term Interest Rates Tell Us About Future Inflation?
In this paper, the author empirically assesses the predictive power of short-term interest rates and term spreads for future inflation in Germany. Based on a multivariate term structure framework, a vector error forecasting equation for inflation forecasts of up to two years is constructed. The results of the alternative error correction reveal that the level of the shortterm interest rates conveys much more information on future inflation than the yield curve spreads. In particular, the one-month and three-month nominal interest rates seem to be informative on future inflation at a two-year horizon.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 94
- Classification
-
Wirtschaft
Price Level; Inflation; Deflation
Model Construction and Estimation
- Subject
-
inflation
interest rates
- Event
-
Geistige Schöpfung
- (who)
-
Grech, Harald
- Event
-
Veröffentlichung
- (who)
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Oesterreichische Nationalbank (OeNB)
- (where)
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Vienna
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Grech, Harald
- Oesterreichische Nationalbank (OeNB)
Time of origin
- 2004
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