On the term structure of interest rates and inflation in Japan

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)505-523
Number of pages19
JournalJournal of Economics and Business
Volume54
Issue number5
DOIs
Publication statusPublished - 2002 Jan 1
Externally publishedYes

Keywords

  • Inflation
  • The term structure of interest rates

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics and Econometrics

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