JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Hat die Zinsstruktur Aussagekraft für die zukünftige Inflation in Deutschland?
Eine Kritik des Mishkin-Ansatzes
Jochum, Christian | Kirchgässner, Gebhard
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 4 : pp. 493–519
Additional Information
Article Details
Author Details
Christian Jochum, Basel
Gebhard Kirchgässner, St. Gallen
References
-
Baillie, R. T., C.-F. Chung und M. A. Tieslau (1996): Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model, Journal of Applied Econometrics 11 (1996), S. 23 - 40.
Google Scholar -
Box; G. E.P. und G. M. Jenkins (1970): Time Series Analysis: Forecasting and Control, Holden-Day, San Francisco et al., 2., überarbeitete Auflage 1976.
Google Scholar -
Browne, F. und P. Manasse (1990): The Information Content of the Term Structure of Interest Rates: Theory and Evidence, OECD Economic Studies 14 (1990), S. 59 - 86.
Google Scholar -
Choudhry, T. (1997): Cointegration Analysis of the Inverted Fisher Effect: Evidence from Belgium, France and Germany, Applied Economics Letters 3 (1997), S. 257 - 260.
Google Scholar -
Crowder, W. J. und D. L. Hoffman (1996): The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited, Journal of Money, Credit and Banking 28 (1996), S. 102 - 118.
Google Scholar
Abstract
Can the Term Structure be Used to Predict Future Inflation in Germany?
A Critique of the Mishkin-Approach
Using data from 1973 to 1997, we first use the approach developed by Mishkin for the US and are able to reproduce very similar results for Germany. However, these results are extremely unstable, once further variables are introduced in the equations. After checking for the order of integration we use two different tests for cointegration and show that in nearly all cases the hypotheses behind the Mishkin approach have to be rejected. Thus, this approach can hardly be used to predict future German inflation. Moreover, the seemingly successful application of this approach depends more on the negative correlation between short-term interest and long-term inflation rates than on a positive correlation between long-term interest and inflation rates.