Does the level of the yield curve predict inflation?

Kaya H.

APPLIED ECONOMICS LETTERS, vol.21, no.7, pp.477-480, 2014 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 21 Issue: 7
  • Publication Date: 2014
  • Doi Number: 10.1080/13504851.2013.868582
  • Journal Indexes: Social Sciences Citation Index, Scopus
  • Page Numbers: pp.477-480


This article addresses the issue of forecasting inflation using the term structure of interest rates. I use several measures for the level and the slope of the yield curve and investigate their predictive content for inflation. The results show that the forecasting performance of the indicators varies across countries. The findings suggest that the level of the yield curve is a better predictor for inflation than the slope of the yield curve.