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 …

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 …

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 …

The expectations theory of the term structure is well known to give wrong signals as to the
future course of long-term interest rates. One explanation involves rational time-varying term …

In a number of recent papers [11][12], 2 it has been shown that, for the United States, the
behaviour of the term structure of interest rates can be explained remarkably well by …

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 …

Financial market deregulation and innovation have considerably complicated the
interpretation of money aggregates in the 198Os, making them less reliable indicators for …

This paper studies the term structure of real rates, expected inflation, and inflation risk
premia. The analysis is based on new estimates of the real term structure derived from the …

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 …

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 …