A multi-country study of the information in the shorter maturity term structure about future inflation

Abstract

Empirical analysis of data from ten OECD countries indicates that, except for France, the United Kingdom, and Germany, the shorter maturity term structure does not contain a great deal of information about the future path of inflation. On the other hand, except for the United Kingdom there is a great deal of information in the term structure of nominal interest rates at shorter maturities about the term structure of real interest rates. These results are explained by differences in the relative variability of expected future inflation changes and real term structure slopes for the different countries.