This paper studies the usefulness of spreads between interest rates of different
maturities as indicators of future inflation and real interest rates in , using
monthly data starting in 1967: 1. The central results are twofold. First, the
interest rate spreads considered contain considerable information about future
changes in inflation, but no information about the time path of real interest
rates. Second, the medium-term segment of the yield curve (spreads between 6
and 2 year rates, for instance) appears to be the most informative for future
inflation. These results are similar to those obtained by Mishkin (1990b) and
Jorion and Mishkin (1991).
The views expressed in this publication are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.