1887

OECD Economics Department Working Papers

Working papers from the Economics Department of the OECD that cover the full range of the Department’s work including the economic situation, policy analysis and projections; fiscal policy, public expenditure and taxation; and structural issues including ageing, growth and productivity, migration, environment, human capital, housing, trade and investment, labour markets, regulatory reform, competition, health, and other issues.

The views expressed in these papers are those of the author(s) and do not necessarily reflect those of the OECD or of the governments of its member countries.

English, French

What the Yield Curves say About Inflation

Does it Change Over Time?

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 ...

English

Keywords: monetary policy indicators, information content of term structure of interest rates, monetary policy regimes, structural stability test
JEL: E43: Macroeconomics and Monetary Economics / Money and Interest Rates / Interest Rates: Determination, Term Structure, and Effects; E42: Macroeconomics and Monetary Economics / Money and Interest Rates / Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
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