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dc.contributor.authorKrippner, Leo
dc.date.accessioned2008-12-15T02:17:28Z
dc.date.available2008-12-15T02:17:28Z
dc.date.issued2005-12
dc.identifier.citationKrippner, L. (2005). A new framework for yield curve, output and inflation relationships. (Department of Economics Working Paper Series, Number 7/05). Hamilton, New Zealand: University of Waikato.en_US
dc.identifier.urihttps://hdl.handle.net/10289/1643
dc.description.abstractThis article develops a theoretically-consistent and easy-to-apply framework for interpreting, investigating, and monitoring the relationships between the yield curve, output, and inflation. The framework predicts that steady-state inflation plus steady-state output growth should be cointegrated with the long-maturity level of the yield curve as estimated by a arbitrage-free version of the Nelson and Siegel (1987) model, while the shape of the yield curve model from that model should correspond to the profile (that is, the timing and magnitude) of expected future inflation and output growth. These predicted relationships are confirmed empirically using 51 years of United States data. The framework may be used for monitoring expectations of inflation and output growth implied by the yield curve. It should also provide a basis for using the yield curve to value and hedge derivatives on macroeconomic data.en_US
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.relation.ispartofseriesDepartment of Economics Working Paper Series
dc.subjectyield curveen_US
dc.subjectterm structure of interest ratesen_US
dc.subjectinflationen_US
dc.subjectreal output growthen_US
dc.subjectNelson and Siegel modelen_US
dc.subjectHeath-Jarrow-Morton frameworken_US
dc.titleA new framework for yield curve, output and inflation relationshipsen_US
dc.typeWorking Paperen_US
uow.relation.series7/05


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