Assessing the Stability of the Relationship Between Yield Curves and Inflation

Schich, Sebastian

Abstract

Assessing the Stability of the Relationship Between Yield Curves and Inflation

Sebastian Schich

Organisation for Economic Co-operation and Development (OECD)

Applied Economics Letters, Vol. 9, 2002

Abstract:
Several papers have identified that yield curves have strong predictive power for future inflation. The present paper investigates the stability of this relationship, using the example of the United States, Germany, the United Kingdom and Canada. It confirms that the yield curve contains significant information in all four countries. The relationship appears to be stable in Germany and Canada. By contrast, there is some limited evidence for structural instability in the United States and the United Kingdom, possibly reflecting changes in monetary policy regimes.

Keywords: Yield curves, information content

JEL Classification: E42, E43

Accepted Paper Series

Date posted: June 21, 2004

Suggested Citation

Schich, Sebastian, Assessing the Stability of the Relationship Between Yield Curves and Inflation. Applied Economics Letters, Vol. 9, 2002. Available at SSRN: http://ssrn.com/abstract=557104

Contact Information

Sebastian Schich (Contact Author)

Organisation for Economic Co-operation and Development (OECD) ( email )

2 rue Andre Pascal
Paris Cedex 16, MO 63108
France
+33 1 4524 1419 (Phone)
+33 1 4524 9050 (Fax)