Cross-Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation
Cross-Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation
复制标题
名义利率预测通胀能力的跨国证据
DOI：
10.1111/1468-5876.00240
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
J. Kwiecien
中科院分区：
文献类型：
--
作者：
I. Moosa;J. Kwiecien
本文探讨了使用短期利率来预测通货膨胀的可行性所暗示的费雪假说。这种方法的一个主要问题在于隐含的假设，即真实的利率是恒定的，通货膨胀和利率之间的关系不随时间变化。我们证明，使用四个经合组织国家的季度数据，通过放宽这些假设，并允许季节性的通货膨胀率，它是可能的，以获得一个模型具有高度的预测精度和效率。
This paper examines the viability of using short-term interest rates to forecast inflation as implied by the Fisher hypothesis. A major problem with this approach lies in the implicit assumptions that the real interest rate is constant and that the relationship between inflation and interest rate does not change over time. We demonstrate, using quarterly data for four OECD countries, that by relaxing these assumptions and allowing for seasonality in the inflation rate it is possible to obtain a model with a high degree of forecasting accuracy and efficiency.