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| Tekijä: | Crockett, J. |
| Otsikko: | Rational expectations, inflation and the nominal interest rate |
| Lehti: | Journal of Econometrics
1998 : MAR-APR, VOL. 83:1-2, p. 349-364 |
| Asiasana: | RATIONAL EXPECTATIONS INFLATION MARKET FORECASTING |
| Kieli: | eng |
| Tiivistelmä: | There is a substantial empirical literature, beginning with Fama (1975) that utilizes regressions of the inflation rate in a given period on initial interest rates (or inflation differentials on the slope of the initial yield curve) to test the Fisher hypothesis and/or to provide forecasts of inflation. Both uses depend critically on the maintained hypothesis that asset market prices fully incorporate all relevant current information about future yields. |
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