The nominal interest rate as a predictor of inflation: A re-examination of the underlying model

Applied Financial Economics

Volumn 9, Issue 4, 1999, Pages 337-341

  Moosa, Imad A ^a   Kwiecien, Jolanta ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000057317     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031099332221     Document Type: Article

References (7)

1. 2, Biometrika, 62(2), 243-50.
2. Carlson, J. A. (1977) Short-term interest rates as predictors of inflation: comment, American Economic Review, 67(3), 469-75.
3. Cheung, K. Y. (1993) Short-term interest rates as predictors of inflation revisited: a signal extraction approach, Applied Financial Economics, 3(2), 113-18.
4. Fama, E. (1975) Short-term interest rates as predictors of inflation, American Economic Review, 65(3), 269-82.
5. Harvey, A. C. (1989) Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge.
6. Koopman, S. J., Harvey, A. C., Doornik, J. A. and Shephard, N. (1995) STAMP 5.0: Structural Time Series Analyser, Modeller and Predictor, Chapman and Hall, London.
7. Ljung, G. M. and Box, G. E. P. (1978) On a measure of lack of fit in time series models, Biometrika, 65(2), 297-303.