Based on an empirically attractive Gaussian dynamic term structure model and data on the
short-term real interest rate and per capita real consumption, this paper examines the …

This paper tests the joint hypothesis of rational expectations and the expectations theory of
the term structure using the Livingston survey data on price inflation forecasts. For a variety …

In this paper we propose a structural term structure model which provides endogenous
estimates of the term structures of real interest rates, inflation expectations and inflation risk …

During the past 15 years a large number of studies have used the approach suggested by
Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815–828; Journal of …

Recent research has begun to examine what information the term structure of interest rates
contains about future inflation. Mishkin [1990] examines the term structure for US Treasury …

THE THEORETICAL AND EMPIRICAL literature on the term structure of interest rates seeks
to explain the pattern of nominal returns on securities of differing maturity [see for example …

The one-year expected inflation rate and the expected real return on one-year bonds move
opposite one another. The result is that the term structure shows little power to forecast near …

This empirical analysis indicates that for maturities of six months or less, the term structure of
nominal interest rates provides almost no information about the future path of inflation but …

This paper presents new evidence about the information contained in the term structure
about future inflation. Although the general finding in the literature is that the greater the time …

This paper presents and estimates a structural model which investigates the relationship
between the term structure of interest rates, inflation and GDP growth. The model allows us …