The paper investigates the information content of yield curves regarding future inflation, using the example of the G-7 countries. The empirical results show substantial variation of results across countries, and a significant information content is identified for the United States, the United...

This paper examines whether financial aggregates provide information useful for predicting the subsequent behavior of real output and inflation. We employ vector autoregression (VAR) techniques to summarize the information in the data, providing evidence on the incremental forecasting value of...

In this analysis, the informational content of central bank rhetoric is assessed based on the experience with the ECB since 1999. Among the ECB's communication channels we focus on the monthly press conferences. Based on a counting of certain signal words we construct a wording indicator...

This paper demonstrates that the ability of the yield spread to predict output fluctuations is contingent on the monetary authority's reaction function. In particular, expectations of monetary policy actions are crucial for the spread to predict output conditional on the short-rate. Furthermore,...

This Paper, which extends earlier work by Filardo and Guinigundo (2008) and Nelson (2008), reports on a survey conducted in 2007 on the communication practices of 32 members of the Central Bank Governance Network. The questionnaire sent to Network members was divided into two main parts. The...

With the onset of the financial turmoil in August 2007, pricing references on the money market interest rates have been shocked. The segment of unsecured deposit transactions, which represent the cornerstone of capital markets, and is used as basis for the setting of money market benchmark...