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Measuring Expected Inflation And The Ex Ante Real Interest Rate In The Euro Area Using Structural Vector Autoregressions
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Book Synopsis Measuring Expected Inflation and the Ex-ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions by : Jan Gottschalk
Download or read book Measuring Expected Inflation and the Ex-ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions written by Jan Gottschalk and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Expected Inflation and Ex-ante Real Interest Rate in the Euro Area Using Structural Vector Autoregresions by : Jan Gottschalk
Download or read book Measuring Expected Inflation and Ex-ante Real Interest Rate in the Euro Area Using Structural Vector Autoregresions written by Jan Gottschalk and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology by : Pierre St-Amant
Download or read book Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology written by Pierre St-Amant and published by . This book was released on 1998 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run ? they are cointegrated (1,1) ? and that the real interest rate is stationary. He finds that changes in inflation expectations and in the ex ante real interest rate are both important in explaining fluctuations in the U.S. 1-year and 10-year government bond rates. The author also finds that, while the increase in the 1-year and the 10-year bond rates in the 1970s and the early 1980s mainly reflects higher inflation expectations, changes in ex ante real interest rates appear to account for most of the fluctuations in these rates in 1994 and in the first half of 1995.
Book Synopsis Real Interest Rates and Inflation by : Shmuel Kandel (deceased)
Download or read book Real Interest Rates and Inflation written by Shmuel Kandel (deceased) and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a method of measuring ex-ante real interest rates using prices of index and nominal bonds. Employing this method and newly available data, we directly test the Fisher hypothesis that the real rate of interest is independent of inflation expectations. We find a negative correlation between ex-ante real interest rates and expected inflation. This contradicts the Fisher hypothesis but is consistent with the theories of Mundell and Tobin, Darby and Feldstein, and Stulz. We also find that nominal interest rates include an inflation risk premium that is positively related to a proxy for inflation uncertainty.
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 Real Asset Returns and Components of Inflation by : Matthias Hagmann-von Arx
Download or read book Real Asset Returns and Components of Inflation written by Matthias Hagmann-von Arx and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We shed new light on the negative relationship between real stock returns or real interest rates and (i) post inflation, (ii) expected inflation, (iii) unexpected inflation, and (iv) changes in expected inflation. Using the structural vector autoregression methodology, we propose a decomposition of those series into economically interpretable components driven by aggregate supply, real demand and money market shocks. Our empirical results support Fama's 'proxy hypothesis' and the predictions of several general eqilibrium models. Concerning the negative relation between the real rate of interest and inflation, we find that the Mundell-Tobin model and the explanation of Fama and Gibbons (1982) are not competitors: both add insight in their own way about the reasons for the negative correlation between those variables. However, the importance of the latter explanation decreased since the 1980's.
Book Synopsis Interpretive Research: Economics and Administration Sciences by : Erkan USTAOĞLU
Download or read book Interpretive Research: Economics and Administration Sciences written by Erkan USTAOĞLU and published by Livre de Lyon. This book was released on 2022-10-15 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interpretive Research: Economics and Administration Sciences , Livre de Lyon
Book Synopsis Measuring the Effects of Monetary Policy in the Euro Area by : Jan Gottschalk
Download or read book Measuring the Effects of Monetary Policy in the Euro Area written by Jan Gottschalk and published by . This book was released on 2001 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Output Gap: Is It Worth Your Time? by : Mr.Jiaqian Chen
Download or read book Measuring Output Gap: Is It Worth Your Time? written by Mr.Jiaqian Chen and published by International Monetary Fund. This book was released on 2020-02-07 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.
Book Synopsis An Introduction Into the SVAR Methodology by : Jan Gottschalk
Download or read book An Introduction Into the SVAR Methodology written by Jan Gottschalk and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Prices and Monetary Policy by : John Y. Campbell
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Book Synopsis Cointegration Analysis in an Inflationary Environment by : Hubert Strauß
Download or read book Cointegration Analysis in an Inflationary Environment written by Hubert Strauß and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov Or Not Markov by : Frank Bickenbach
Download or read book Markov Or Not Markov written by Frank Bickenbach and published by . This book was released on 2001 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Assessing the Advantages of EMU-Enlargement for the EU and the Accession Countries by : Rainer Schweickert
Download or read book Assessing the Advantages of EMU-Enlargement for the EU and the Accession Countries written by Rainer Schweickert and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Do Bivariate SVAR Models with Long-run Identifying Restrictions Yield Reliable Results? by : Jan Gottschalk
Download or read book Do Bivariate SVAR Models with Long-run Identifying Restrictions Yield Reliable Results? written by Jan Gottschalk and published by . This book was released on 2001 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis European Integration and Changing Trade Patterns by : Claus-Friedrich Laaser
Download or read book European Integration and Changing Trade Patterns written by Claus-Friedrich Laaser and published by . This book was released on 2002 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Globalizaton of the Automobile Industry by : Julius Spatz
Download or read book Globalizaton of the Automobile Industry written by Julius Spatz and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
