The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

被引：205

作者：

Estrella, A

Mishkin, FS

机构：

[1] FED RESERVE BANK NEW YORK,NEW YORK,NY 10045

[2] COLUMBIA UNIV,GRAD SCH BUSINESS,NEW YORK,NY 10027

[3] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

EUROPEAN ECONOMIC REVIEW | 1997年 / 41卷 / 07期

关键词：

term structure; inflation; forecasting; monetary policy;

D O I：

10.1016/S0014-2921(96)00050-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the relationship of the term structure of interest rates to monetary policy instruments and to subsequent real activity and inflation in both Europe and the United States. The results show that monetary policy is an important determinant of the term structure spread, but is unlikely to be the only determinant. In addition, there is significant predictive power for both real activity and inflation. The yield curve is thus a simple and accurate measure that should be viewed as one piece of useful information which, along with other information, can be used to help guide European monetary policy. (C) 1997 Elsevier Science B.V.

引用

页码：1375 / 1401

页数：27