Yield Curve And Prediction Of Change In A Inflation Rate

The aim scope of this paper is the empirical investigation between the yield curve and the future changes in inflation rate. The investigation is based on data of the Czech economy in the years 1993-1998. The strong evidence between these two economic variables was found with use of some nonparametric estimation methods. The results are used for prediction of future inflation rate from one month to one semester.

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Year of publication:	1999
Authors:	Brůha, Jan
Published in:	Bulletin of the Czech Econometric Society. - Česká ekonometrická společnost - CES. - Vol. 6.1999
Publisher:	Česká ekonometrická společnost - CES
Subject:	yield curve \| term structure \| inflation rate \| Fischer effect \| splines \| market expectation \| rational expectations

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Extent:	text/html
Type of publication:	Article
Classification:	E31 - Price Level; Inflation; Deflation ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008528840