This paper provides empirical evidence on the information in the term structure for longer maturities about both future inflation and the term structure of real interest rates. The evidence indicates that there is substantial information in the longer maturity term structure about future

This paper provides evidence on what the term structure (for maturities of twelve months or less) tells us about future inflation in ten OECD countries. The empirical results on the information in the term structure contrast with those that find that the level of interest rates help forecast the...

This paper provides some refinements and updating of Fama's (1984) evidence on the information in the term structure about future spot interest rate movements. First, it uses econometric techniques that properly correct standard errors for overlapping data and for conditional heteroscedasticity....