On the term structure of interest rates and inflation in Japan

研究成果: Article査読

5 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)505-523
ページ数19
ジャーナルJournal of Economics and Business
54
5
DOI
出版ステータスPublished - 2002 1 1
外部発表はい

ASJC Scopus subject areas

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

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