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 …

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 …

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 extends previous work on the information in the US term structure at longer
maturities to Britain, West Germany, and Switzerland. We find strong evidence that the term …

This chapter discusses what the asset-pricing literature concludes about the forecastability
of interest rates. It outlines forecasting methodologies implied by this literature, including …

I use a statistical model to combine various surveys to produce a term structure of inflation
expectations—inflation expectations at any horizon—and an associated term structure of …

ABSTRACT I use weekly Treasury‐bill rates with maturities of one to twenty‐six weeks to
examine the information in forward rates during the 1970s and 1980s. Forward rates contain …

Survey data on interest rate expectations permit separate testing of the two alternative
hypotheses in traditional term structure tests: that the expectations hypothesis fails, and that …

We examine the importance of incorporating macroeconomic information and, in particular,
accounting for model uncertainty when forecasting the term structure of US interest rates. We …

This paper provides some refinements and updating of Fama's (1984) evidence on the
information in the term structure about future spot interest rate movements. First, it uses …