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- W2895070517 abstract "A major issue with predicting inflation rates using predictive regressions is that estimation errors can overwhelm the information content. This article proposes a new approach that uses a monetary-policy rule as a bridge between inflation rates and short-term interest rates and relies on the forward-interest-rate curve to predict future interest-rate movements. The 2-step procedure estimates the predictive relation not through a predictive regression but far more accurately through the contemporaneous monetary-policy linkage. Historical analysis shows that the approach outperforms random walk out of sample by 30%–50% over horizons from 1 to 5 years." @default.
- W2895070517 created "2018-10-12" @default.
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- W2895070517 date "2018-10-02" @default.
- W2895070517 modified "2023-10-16" @default.
- W2895070517 title "Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions" @default.
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- W2895070517 doi "https://doi.org/10.1017/s0022109018000467" @default.
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