On the term structure of interest rates and inflation in Japan

Jun Nagayasu

doi:10.1016/s0148-6195(02)00104-2

On the term structure of interest rates and inflation in Japan

Jun Nagayasu

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

This paper empirically analyzes whether the term structure of interest rates contains information of Japanese inflation developments over the last two decades. Our study finds statistical evidence to support that (1) CPI and WPI inflation data behave in rather different ways, (2) term spreads, particularly the longer-term spreads, are useful predictors of the future course of CPI inflation, and (3) CPI inflation movements are more predictable prior to the structural change in 1988.

Original language	English
Pages (from-to)	505-523
Number of pages	19
Journal	Journal of Economics and Business
Volume	54
Issue number	5
DOIs	https://doi.org/10.1016/s0148-6195(02)00104-2
Publication status	Published - 2002 Jan 1
Externally published	Yes

Keywords

Inflation
The term structure of interest rates

ASJC Scopus subject areas

Business, Management and Accounting(all)
Economics and Econometrics

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10.1016/s0148-6195(02)00104-2

Cite this

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AB - This paper empirically analyzes whether the term structure of interest rates contains information of Japanese inflation developments over the last two decades. Our study finds statistical evidence to support that (1) CPI and WPI inflation data behave in rather different ways, (2) term spreads, particularly the longer-term spreads, are useful predictors of the future course of CPI inflation, and (3) CPI inflation movements are more predictable prior to the structural change in 1988.

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On the term structure of interest rates and inflation in Japan

Abstract

Keywords

ASJC Scopus subject areas

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