Efficient Inflation Forecasts: An International Comparison /
Kane, Alex.
Efficient Inflation Forecasts: An International Comparison / Alex Kane, Leonard Rosenthal. - Cambridge, Mass. National Bureau of Economic Research 1985. - 1 online resource: illustrations (black and white); - NBER working paper series no. w1542 . - Working Paper Series (National Bureau of Economic Research) no. w1542. .
1985.
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.
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Mode of access: World Wide Web.
Efficient Inflation Forecasts: An International Comparison / Alex Kane, Leonard Rosenthal. - Cambridge, Mass. National Bureau of Economic Research 1985. - 1 online resource: illustrations (black and white); - NBER working paper series no. w1542 . - Working Paper Series (National Bureau of Economic Research) no. w1542. .
1985.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.