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Prognostiziert die Zinsstruktur die Inflation in Deutschland?
Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 4 : pp. 554–578
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Gerd Hansen, Kiel
References
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Abstract
Does the Interest-Rate Structure Forecast Inflation in Germany?
This article analyses whether or not a multivariate co-integration model of the interest-rate structure is appropriate for forecasting inflation and, thus, for a money supply policy oriented at inflation forecasts. According to the theory, a set of variables with two future rates of inflation and two rates of interest produced three co-integration relationships. The estimated results show that rates of inflation depend on all three co-integration relationships. It follows therefrom that the bi-variate models employed in the specialised literature describe the interrelationships in an only unsatisfactory manner. The inflation forecast based on the interest-rate structure was better than the forecast based on the P-Star model.