Econometric modelling of the slope of real Treasury Bonds rates and forecasting future inflation: The case of Morocco

This article explores the predictive role of the slope of the real yield curve on Treasury bills (SPREAD) on future inflation in Morocco, using quarterly data covering the period 2007Q1 to 2021Q4. It analyzes how the SPREAD of rates can anticipate inflationary trends in the short, medium and long term, over horizons ranging from one to twelve quarters. To do so, the article draws on the theoretical model of the Fisher relationship and tests four main hypotheses. These assess the effectiveness of the SPREAD of real interest rates, both in isolation and in interaction with the real short rate and in combination with lagged inflation, in predicting future inflation. The models are estimated using the ordinary least squares (OLS) method. The results underline the crucial importance of SPREAD in this anticipation, particularly over the medium and long term. The introduction of the real short rate and its interaction with SPREAD, as well as the inclusion of lagged inflation variables, improve our understanding of these dynamics.