Short-Term Interest Rates as Predictors of Inflation: Comment

Abstract

In this note I raise two questions regarding Fama's results. The first is whether similar tests based on an information set somewhat broader than the past history of consumer price inflation will support Fama's findings. The second is whether given Fama's data and model his results fully support his hypotheses. The answer to both questions is no if one accepts the accuracy of the data. During Fama's sample period, the current monthly rate of change of consumer prices, Ct, is significantly related to the three previous monthly rates of change of

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