for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no … information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of … Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a … small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short …

either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables …