TY  - JOUR
AU  - Kane,Alex
AU  - Rosenthal,Leonard
TI  - Efficient Inflation Forecasts:  An International Comparison
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1542
PY  - 1985
Y2  - 1985
UR  - http://www.nber.org/papers/w1542
L1  - http://www.nber.org/papers/w1542.pdf
N1  - Author contact info:
Alex Kane
Graduate School of IRPS/D-019
University of California, San Diego
La Jolla, CA   92093-0519
Tel: 619/534-5969
E-Mail: akane@ucsd.edu
AB  - This paper addresses the question of whether nominal Eurocurrency interest rates provide significant information about expected inflation. To test this question two sets of inflation forecasts for the U.S. and five European countries were generated: 1) from time series of past inflation rates;2) by forecasting real rates from time series of past real rates and subtracting these forecasts from nominal rates. The accuracy of the two sets of inflation forecasts was compared. The results indicate that nominal Eurocurrency rates provide valuable marginal information about expected inflation for the U.S. and U.K., but not for the other European countries.
ER  -