The Information in the Longer Maturity Term Structure About Future Inflation
The Information in the Longer Maturity Term Structure About Future Inflation
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较长期限结构中有关未来通胀的信息
DOI：
10.3386/w3126
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发表时间：
1989
期刊：
影响因子：
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通讯作者：
Frederic S. Mishkin
中科院分区：
文献类型：
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作者：
Frederic S. Mishkin
本文提供了经验证据的信息，在期限结构较长的期限，未来的通货膨胀和期限结构的真实的利率。证据表明，在较长期限的期限结构中存在大量关于未来通货膨胀的信息：期限结构的斜率确实对未来通货膨胀的变化具有很大的预测能力。另一方面，在较长的期限，名义利率的期限结构包含很少的信息，真实的利率的期限结构。这些结果与以往研究中发现的6个月或更短期限债券的结果截然不同。对于6个月或更短期限的债券，期限结构不包含关于未来通胀路径的信息，但它包含了大量关于真实的利率期限结构的信息。本文中的证据确实表明，在较长的期限内，利率的期限结构可以用来帮助评估未来的通胀压力：当期限结构的斜率变陡时，这表明未来通胀率将上升，当斜率福尔斯下降时，这表明通胀率将下降。然而，我们仍然必须保持谨慎，使用这里提供的证据，主张联邦应在执行货币政策的期限结构为目标。关注利率期限结构的联邦操作程序的变化很可能会导致利率期限结构与未来通胀之间的关系发生变化，其结果是利率期限结构不再是未来通胀路径的准确指南。如果发生这种情况，联邦（Fed）的货币政策可能会因专注于利率期限结构而误入歧途。
This paper provides empirical evidence on the information in the term structure for longer maturities about both future inflation and the term structure of real interest rates. The evidence indicates that there is substantial information in the longer maturity term structure about futureinflation: the slope of the term structure does have a great deal of predictive power for future changes in inflation. On the other hand, at the longer maturities, the term structure of nominal interest rates contains very little information about the term structure of real interest rates. These results are strikingly different from those found for very short-term maturities, six months or less, in previous work. For maturities of six months or less, the term structure contains no information about the future path of inflation, but it does contain a great deal of information about the term structure of real interest rates. The evidence in this paper does indicate that, at longer maturities, the term structure of interest rates can be used to help assess future inflationary pressures: when the slope of the term structure steepens, it is an indication that the inflation rate will rise in the future and when the slope falls, it is an indication that the inflation rate will fall. However, we must still remain cautious about using the evidence presented here to advocate that the Federal Reserve should target on the term structure in conducting monetary policy. A change in Federal Reserve operating procedures which focuses on the term structure may well cause the relationship between the term structure and future inflation to shift, with the result that the term structure no longer remains an accurate guide to the path of future inflation. If this were to occur, Federal Reserve monetary policy could go far astray by focusing on the term structure of interest rates.