This paper studies the usefulness of spreads between interest rates of different maturities as indicators of future inflation and real interest rates in Germany, using monthly data starting in 1967:1. The central results are twofold. First, the interest rate spreads considered contain...

This paper studies the usefulness of spreads between interest rates of different maturities as indicators of future inflation and real interest rates in Germany, using monthly data starting in 1967: 1. The central results are twofold. First, the interest rate spreads considered contain...

We analyze real interest rate convergence among six industrialized countries in between 1975M1-2011M3 within a multi-country framework by means of a dynamic latent factor model. The real interest rates are decomposed into permanent and transitory factors, and country-specific components....