Συλλογές
Τίτλος Using the term structure to forecast the future inflation
Δημιουργός Giogakis, Andreas
Συντελεστής Athens University of Economics and Business, Department of Economics
Tzavalis, Elias
Τύπος Text
Φυσική περιγραφή 50p.
Γλώσσα en
Περίληψη This study examines empirically what the term structure of interest rates tells us about future inflation using the Fisher hypothesis. This is a very important topic because inflation is a major concern of policymakers. We have examined this relationship by using a VECM. Furthermore we have used several tests in the framework of VAR modeling such as Unit Root tests and Cointegration Tests. The study reveals that the real interest rate contains more information about the future inflation than the term spread.
Λέξη κλειδί Fisher equation
Term structure
Rational Expectations
Cointegration
Vector error correction
Ημερομηνία 28-02-2015
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/