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Title :Using the term structure to forecast the future inflation
Creator :Giogakis, Andreas
Contributor :Tzavalis, Elias (Επιβλέπων καθηγητής)
Athens University of Economics and Business, Department of Economics (Degree granting institution)
Type :Text
Extent :50p.
Language :en
Abstract :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.
Subject :Fisher equation
Term structure
Rational Expectations
Cointegration
Vector error correction
Date :28-02-2015
Licence :

File: Giogakis_2015.pdf

Type: application/pdf