Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264686 
Authors: 
Year of Publication: 
2004
Series/Report no.: 
Working Paper No. 94
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
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.
Subjects: 
inflation
interest rates
JEL: 
E31
C51
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.