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Kan den svenska avkastningskurvan användas som indikator för den svenska inflationen?
Mid Sweden University, Faculty of Human Sciences, Department of Social Sciences.
2009 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Abstrakt 

The yield curve as a forecasting tool for inflation has been thoroughly investigated. However, most of these studies considered only the major economies, such as the U.S. economy or the major European economies and not a small open economy such as the Swedish. The Swedish economy should be much more affected by the world economy then the bigger economies. The purpose with this study is then to investigate whether the Swedish yield curve, or the Swedish interest rate, can be used as forecasting tools for the Swedish inflation. To be able to carry out this study I will perform an econometric investigation based on an iterative generalized least square model. The time series used in this investigation is based on data running from January 1, 1999 until Febuary 28, 2009. The investigation is based on the assumption that the Yield curve and the interest rate affect the inflation and is then carried out by investigating the relationship between the change in inflation and the yield curve and the interest rate. Furthermore, my investigation shows that the data are stationary over the full period. The result from the econometric model is rather straightforward; the Swedish yield curve does not perform well as a forecasting tool for inflation.  However, the interest rate have the ability to forecast the change in inflation over a period of 60 month.

Place, publisher, year, edition, pages
2009. , p. 58
Keywords [sv]
Avkastningskurva, inflation, ränta
National Category
Economics
Identifiers
URN: urn:nbn:se:miun:diva-9201OAI: oai:DiVA.org:miun-9201DiVA, id: diva2:224791
Presentation
(English)
Uppsok

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Available from: 2009-06-23 Created: 2009-06-22 Last updated: 2009-06-23Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf