290
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Does the level of the yield curve predict inflation?

References

  • Ang, A. and Piazzesi, M. (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and laten variables, Journal of Monetary Economics, 50, 745–87.
  • Clark, T. E. and McCracken, M. W. (2001) Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics, 105, 85–110.
  • Diebold, F. X. and Li, C. (2006) Forecasting the term structure of government bond yields, Journal of Econometrics, 30, 337–64.
  • Diebold, F. X., Li, C. and Yue, V. (2008) Global yield curve dynamics and interactions: a generalized Nelson-Siegel approach, Journal of Econometrics, 146, 351–63.
  • Diebold, F. X. and Mariano, R. S. (1995) Comparing predictive accuracy, Journal of Business and Economic Statistics, 13, 253–63.
  • Diebold, F. X. and Rudebusch, G. D. (2013) Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (the Econometrics Institute/Tinbergen Institute Lectures), Princeton University Press, Princeton, NJ.
  • Diebold, F. X., Rudebusch, G. D. and Aruoba, S. B. (2006) The macroeconomy and the yield curve: a dynamic latent factor approach, Journal of Econometrics, 131, 309–38.
  • Harvey, D., Leybourne, S. and Newbold, P. (1997) Testing the equality of prediction mean squared errors, International Journal of Forecasting, 13, 281–91.
  • Kozicki, S. (1997) Predicting real growth and inflation with the yield spread, Federal Reserve Bank of Kansas City Economic Review, 82, 39–57.
  • Rudebusch, G. D. and Wu, T. (2008) Macro-finance model of the term structure, monetary policy, and the economy, The Economic Journal, 118, 906–26.
  • Stock, J. H. and Watson, M. V. (2003) Forecasting output and inflation: the role of asset prices, Journal of Economic Literature, 41, 788–829.
  • Wright, J. H. (2011) Term premia and inflation uncertainty: empirical evidence from an international panel dataset, American Economic Review, 101, 1514–34.

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.