Term Structure Forecasts of Inflation : Some Further Results

New evidence is presented on the information content of expected inflation derived from index-linked and conventional yield curves. Using monthly data the tests are done over three expectations horizons: 6, 12 and 24 months. In each case we find that there is little information content in this yield-curve-based expected inflation data. In the 12- and 24-month cases, the tests call on an alternative expected inflation series derived from consumer expectations surveys. We show that the use of the latter data renders the yield-curve-based data insignificant over these horizons