Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions
提出用货币政策规则连接通胀与短期利率，再通过远期利率曲线预测利率变动，两步法避免预测回归的估计误差，历史检验显示1-5年预测比随机游走改进30%-50%。
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.