Efficient Inflation Forecasts: an International Comparison

28 Pages Posted: 12 Apr 2004 Last revised: 21 Mar 2021

See all articles by Alex Kane

Alex Kane

University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)

Leonard Rosenthal

Bentley University - Department of Finance

Date Written: 1985

Abstract

This paper addresses the question of whether nominal Eurocurrency interest rates provide significant information about expected inflation. To test this question two sets of inflation forecasts for the U.S. and five European countries were generated: 1) from time series of past inflation rates;2) by forecasting real rates from time series of past real rates and subtracting these forecasts from nominal rates. The accuracy of the two sets of inflation forecasts was compared. The results indicate that nominal Eurocurrency rates provide valuable marginal information about expected inflation for the U.S. and U.K., but not for the other European countries.

Suggested Citation

Kane, Alex and Rosenthal, Leonard, Efficient Inflation Forecasts: an International Comparison (1985). NBER Working Paper No. w1542, Available at SSRN: https://ssrn.com/abstract=336298

Alex Kane (Contact Author)

University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) ( email )

9500 Gilman Drive
La Jolla, CA 92093-0519
United States

Leonard Rosenthal

Bentley University - Department of Finance ( email )

175 Forest Street
Waltham, MA 02154
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
22
Abstract Views
831
PlumX Metrics