What the Yield Curves Say About Inflation: Does it Change Over Time?

Schich, Sebastian

doi:10.2139/ssrn.257751

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What the Yield Curves Say About Inflation: Does it Change Over Time?

OECD Economics Department Working Paper No. 227

37 Pages Posted: 27 Jan 2001

See all articles by Sebastian Schich

Sebastian Schich

Organisation for Economic Co-operation and Development (OECD)

Date Written: December 21, 1999

Abstract

The paper investigates the information content of yield curves regarding future inflation, using the example of the G-7 countries. The empirical results show substantial variation of results across countries, and a significant information content is identified for the United States, the United Kingdom, Germany and Canada. The results also vary with the choice of the sample period. Nevertheless, the relationship appears to be structurally stable in Germany and Canada. By contrast, there is evidence for structural instability in the United States and the United Kingdom, possibly reflecting changes in their monetary policy regimes.

Keywords: monetary policy indicator, information content of term structure of interest rates, structural stability test, monetary policy regimes

JEL Classification: E42, E43

Suggested Citation: Suggested Citation

Schich, Sebastian, What the Yield Curves Say About Inflation: Does it Change Over Time? (December 21, 1999). OECD Economics Department Working Paper No. 227, Available at SSRN: https://ssrn.com/abstract=257751 or http://dx.doi.org/10.2139/ssrn.257751