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.
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Economics and Econometrics