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Forward Interest Rates as Indicators of Inflation Expectations
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1995 (English)Report (Other academic)
Abstract [en]

Forward interest rates have become popular indicators of inflation expectations. Theusefulness of this indicator depends on the relative volatilty and the correlation of inflation expectations and expected real interest rates. This paper studies U.S. and U.K. data,using a range of different tools and data sets. The forward rate rule perfoms reasonably well, in spite of significant movements in the expected real interest rate. The reason is that the "noise" that movements in the expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and inflation expectations to move in opposite directions.

Place, publisher, year, edition, pages
Stockholm: IIES , 1995. , 28 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 594
Keyword [en]
Inflation expectations, real interest rates, forward rates
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-40883OAI: oai:DiVA.org:su-40883DiVA: diva2:327078
Available from: 2010-06-28 Created: 2010-06-28 Last updated: 2010-07-02Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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