Abstract
This paper examines how unexpected changes in the consumer price index (CPI) affect both spot rates and forward rates. It finds that unexpected changes in the CPI affect inflation expectations as far as seven years into the future. Additionally, the paper finds that the unexpected changes in the producer price index (PPI) do not affect either the spot rates or forward rates.
Recommended Citation
Blose, Laurence E.
(2012)
"How Unexpected Changes in the CPI and the PPI Affect Expected Inflation and Forward Rates,"
Journal of Business, Industry, and Economics: Vol. 17, Article 3.
Available at:
https://roar.una.edu/jobie/vol17/iss1/3