Does the level of the yield curve predict inflation?

Abstract

This article addresses the issue of forecasting inflation using the term structure of interest rates. I use several measures for the level and the slope of the yield curve and investigate their predictive content for inflation. The results show that the forecasting performance of the indicators varies across countries. The findings suggest that the level of the yield curve is a better predictor for inflation than the slope of the yield curve. © 2014 © Taylor & Francis. © 2014 Elsevier B.V., All rights reserved.