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Estimating The Long Run Relationship Between Interest Rates And Inflation
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Book Synopsis Estimating the Long-run Relationship Between Interest Rates and Inflation by : Lawrence H. Summers
Download or read book Estimating the Long-run Relationship Between Interest Rates and Inflation written by Lawrence H. Summers and published by . This book was released on 1984 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally, it shows that the standard critique of expectational distributed lags is not warranted once the role of learning by economic agents is recognized.
Book Synopsis Estimating the Long-run Relationship Between Interest Rates and Inflation. a Response to Maccallum by : Lawrence H. Summers
Download or read book Estimating the Long-run Relationship Between Interest Rates and Inflation. a Response to Maccallum written by Lawrence H. Summers and published by . This book was released on 1984 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Long-run Relationship Between Interest Rates and Inflation by : Matti Virén
Download or read book The Long-run Relationship Between Interest Rates and Inflation written by Matti Virén and published by . This book was released on 1989 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis Estimating Parameters of Short-Term Real Interest Rate Models by : Mr.Vadim Khramov
Download or read book Estimating Parameters of Short-Term Real Interest Rate Models written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2013-10-17 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
Book Synopsis The Fisher Hypothesis and Inflation Persistence by : Mr.Wensheng Peng
Download or read book The Fisher Hypothesis and Inflation Persistence written by Mr.Wensheng Peng and published by International Monetary Fund. This book was released on 1995-11-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an empirical evaluation of the strength of the Fisher effect which predicts a positive relationship between the nominal interest rate and inflation in the postwar period in the five major industrial countries, utilizing recently developed time series techniques. The results suggest that the Fisher effect is stronger in France, the United Kingdom, and the United States than in Germany and Japan. It is argued that the differences in the linkage between the interest rate and the inflation rate as between the two groups of countries are reflected in the time series properties of the inflation rates, which are, in turn, partly attributable to the different extent to which monetary authorities accommodated inflationary shocks. The empirical results have a number of implications for the long-term trend in the SDR interest rate and for the financing of the Fund’s operations.
Book Synopsis The Great Inflation by : Michael D. Bordo
Download or read book The Great Inflation written by Michael D. Bordo and published by University of Chicago Press. This book was released on 2013-06-28 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Controlling inflation is among the most important objectives of economic policy. By maintaining price stability, policy makers are able to reduce uncertainty, improve price-monitoring mechanisms, and facilitate more efficient planning and allocation of resources, thereby raising productivity. This volume focuses on understanding the causes of the Great Inflation of the 1970s and ’80s, which saw rising inflation in many nations, and which propelled interest rates across the developing world into the double digits. In the decades since, the immediate cause of the period’s rise in inflation has been the subject of considerable debate. Among the areas of contention are the role of monetary policy in driving inflation and the implications this had both for policy design and for evaluating the performance of those who set the policy. Here, contributors map monetary policy from the 1960s to the present, shedding light on the ways in which the lessons of the Great Inflation were absorbed and applied to today’s global and increasingly complex economic environment.
Book Synopsis Essays on the Relationship Between Interest Rates and Inflationary Expectations by : Warren Bradford Cornell
Download or read book Essays on the Relationship Between Interest Rates and Inflationary Expectations written by Warren Bradford Cornell and published by . This book was released on 1975 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Sidney Homer Publisher :New Brunswick, N.J. : Rutgers University Press ISBN 13 :9780813508405 Total Pages :640 pages Book Rating :4.5/5 (84 download)
Book Synopsis A History of Interest Rates by : Sidney Homer
Download or read book A History of Interest Rates written by Sidney Homer and published by New Brunswick, N.J. : Rutgers University Press. This book was released on 1977 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A History of Interest Rates, Fourth Edition presents a readable account of interest rate trends and lending practices spanning over four millennia of economic history. Filled with in-depth insights and illustrative charts and tables, this unique resource provides a broad perspective on interest rate movements - from which financial professionals can evaluate contemporary interest rate and monetary developments - and applies analytical tools, such as yield-curve averaging and decennial averaging, to the data available." "A History of Interest Rates, Fourth Edition offers a highly detailed analysis of money markets and borrowing practices in major economies. It places the rates and corresponding credit forms in context by summarizing the political and economic events and financial customs of particular times and places." "To help you stay as current as possible, this revised and updated Fourth Edition contains a new chapter of contemporary material as well as added discussions of interest rate developments over the past ten years."--BOOK JACKET.
Book Synopsis Money and Inflation: Some Critical Issues by : Bennett T. McCallum
Download or read book Money and Inflation: Some Critical Issues written by Bennett T. McCallum and published by DIANE Publishing. This book was released on 2010 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Low-frequency Estimates of "long Run" Relationships in Macroeconomics by : Bennett T. McCallum
Download or read book On Low-frequency Estimates of "long Run" Relationships in Macroeconomics written by Bennett T. McCallum and published by . This book was released on 1983 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions involve expectational relationships that are not inherently related to specific frequencies or periodicities. Thus the association of low-frequency time series test statistics with long-run economic propositions is not generally warranted. That such an association can be misleading is demonstrated by analysis of examples taken from notable papers by Geweke, Lucas, and Summers.
Book Synopsis On Interest Rates and Asset Prices in Europe by : M. M. G. Fase
Download or read book On Interest Rates and Asset Prices in Europe written by M. M. G. Fase and published by Edward Elgar Publishing. This book was released on 1999 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting 25 years of empirical research on interest rates and a variety of asset prices, this text aims to deepen understanding of asset price inflation. It includes an analysis of the measurement of interest rates, with case studies from The Netherlands, Belgium and EMU, and emphasizes statistical measurement and the attempt to understand interest rate behaviour through statistical estimation. The text also includes an examination of historical interest rate development in the long run, both theoretically and empirically. The behaviour of bonds, stocks, and investment in art are analyzed, as well as the factors indispensable for a monetary strategy designed to target inflation.
Book Synopsis An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length by : Jeffrey A. Frankel
Download or read book An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length written by Jeffrey A. Frankel and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is often suggested that the slope of the term structure of interest rates contains information about the expected future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates helps to predict the difference between the 12-month and 3-month inflation rates. His approach however, lacks a theoretical foundation, other than the (rejected) hypothesis that the real interest rate is constant. This paper applies a simple existing theoretical framework, which allows the real interest rate to vary in the short run but converge to a constant in the long run, to the problem of predicting the inflation spread. It is shown that the appropriate indicator of expected inflation can make use of the entire length of the yield curve, in particular by estimating the steepness of a specific nonlinear transformation of the curve, rather than being restricted to a spread between two points. The resulting indicator, besides having a firmer theoretical foundation does a relatively good job of predicting the inflation rate over the period 1960 to 1988.
Book Synopsis Long and Short-term Interest Rates; an Econometric Study by : J. L. Ford
Download or read book Long and Short-term Interest Rates; an Econometric Study written by J. L. Ford and published by . This book was released on 1967 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Long Run Relationship between Nominal Interest Rates and Inflation by : William J. Crowder
Download or read book The Long Run Relationship between Nominal Interest Rates and Inflation written by William J. Crowder and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical literature examining the Fisher equation has produced results that are generally inconsistent with the simple textbook representation. Much of this evidence is obtained from statistical analysis that fails to recognize that the nominal interest rate and expected inflation may be modeled as distinct nonstationary series that share a common stochastic trend. Using a fully efficient estimator of theimplied cointegration vector we find evidence of a postwar Fisher relation that is consistent with the standard textbook representation even when taxes on interest income are taken into account. Dynamic analysis based on this long- run relation identifies the common source of the instability (nonstationarity) in the system of nominal interest rates and inflation as the accumulation of inflation innovations. The dynamic response of the system to these shocks is examined by distinguishing the shock that leaves a permanent imprint on the system from the shock that has only a transitory effect.
Book Synopsis Estimates of Potential Output and the Neutral Rate for the U.S. Economy by : Ali Alichi
Download or read book Estimates of Potential Output and the Neutral Rate for the U.S. Economy written by Ali Alichi and published by International Monetary Fund. This book was released on 2018-07-06 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a monetary policy block, which allows estimating the neutral rate of interest for the U.S. economy. The addition of the monetary policy block further improves the reliability of the structural multivariate filter.
Book Synopsis Do Expected Shifts in Inflation Affect Estimates of the Long Run Fisher Relation? by : Martin D.D. Evans
Download or read book Do Expected Shifts in Inflation Affect Estimates of the Long Run Fisher Relation? written by Martin D.D. Evans and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical studies suggest that nominal interest rates and expected inflation do not move together one for one in the long run, a finding at odds with many theoretical models. This paper shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we re examine the long run relationship between nominal interest rates and inflation. Interestingly, we are unable to reject the hypothesis that in the long run nominal interest rates reflect expected inflation one for one.
