32
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Assessing the stability of the relationship between yield curves and inflation

Pages 485-491 | Published online: 06 Oct 2010

References

  • Andrews , D. W. K. 1993 . Tests for parameter instability and structural change with unknown change point . Econometrica , 61 ( 4 ) : 821 – 856 .
  • Bai , J. and Perron , P. 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 ( 1 ) : 47 – 78 .
  • Bannerjee , A. , Lumsdaine , R. L. and Stock , J. H. 1992 . Recursive and sequential tests of the unit root and trend break hypotheses: theory and international evidence . Journal of Business and Economic Statistics , 10 : 271 – 287 .
  • Breedon , F. and Chadha , J. April 1996 . Index-linked bonds are worth the trouble , April , Bank of England . mimeo
  • Estrella , A. November 1998 . Monetary policy and the predictive power of the term structure of interest rates , November , Federal Reserve Bank of New York .
  • Estrella , A. , Rodrigues , A. P. and Schich , S. September 2000 . How stable is the predictive power of the yield curve? Evidence from Germany and the United States , Staff Report 113 September , Federal Reserve Bank of New York .
  • Evans , M. and Wachtel , P. 1993 . Inflation regimes and the sources of inflation uncertainty . Journal of Money, Credit, and Banking , 25 ( 3 ) : 475 – 511 .
  • Gerlach , S. 1997 . The information content of the term structure evidence for Germany . Empirical Economics , 22 : 161 – 179 .
  • Gerlach , S. and Smets , F. July 1997 . Exchange rate regimes and the expectations hypothesis of the term structure , BIS Working Paper 43 July ,
  • Ghysels , E. , Guay , A. and Hall , A. 1997 . Predictive tests for structural change with unknown breakpoint . Journal of Econometrics , 92 : 209 – 233 .
  • Jorion , P. and Mishkin , F. 1991 . A multicountry comparison of term-structuie forecasts at long horizons . Journal of Financial Economics , 29 : 59 – 80 .
  • Koedijk , K. G. and Kool , C. J. M. 1995 . Future inflation and the information in international term structures . Empirical Economics , 20 : 217 – 242 .
  • Mishkin , F. S. 1990a . What does the term structure tell us about future inflation? . Journal of Monetary Economics , 25 : 77 – 95 .
  • Mishkin , F. S. 1990b . The information in the longer maturity term structure about future inflation . The Quarterly Journal of Economics CV , August : 815 – 828 .
  • Mylonas , P. and Schich , S. September 1999 . The use of financial market indicators by monetary authorities , OECD Economics Department Working Paper 223 September ,
  • Newey , W. K. and West , K. D. 1987 . A simple, positive semidefinite, heteroscedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
  • Schich , S. 1999a . The information content of the German term structure regarding inflation . Journal of Applied Financial Economics , 9 : 385 – 396 .
  • Schich , S. December 1999 . What the yield curves say about inflation: does it change over time? , OECD Economics Department Working Paper 227 December ,

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.