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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
Christian Jochum, Basel
Gebhard Kirchgässner, St. Gallen
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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.