Do Expected Shifts In Inflation Affect Estimates Of The Long Run Fisher Relation

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Do Expected Shifts in Inflation Affect Estimates of the Long Run Fisher Relation?

Author : Martin D.D. Evans
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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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.

Do Expected Shifts in Inflation Affect Estimates of the Long-run Fisher Relation?

Author : Martin D. D. Evans
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (279 download)

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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 1993 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Long-run Relationship Between Interest Rates and Inflation

Author : Matti Virén
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.3/5 ( download)

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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:

The Fisher Hypothesis and Inflation Persistence

Author : Mr.Wensheng Peng
Publisher : International Monetary Fund
ISBN 13 : 1451940823
Total Pages : 28 pages
Book Rating : 4.4/5 (519 download)

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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.

Inflation Expectations

Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)

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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.

Estimating the Long-run Relationship Between Interest Rates and Inflation

Author : Lawrence H. Summers
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.3/5 (9 download)

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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.

Is the Fisher Effect for Real?

Author : Frederic S. Mishkin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)

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Book Synopsis Is the Fisher Effect for Real? by : Frederic S. Mishkin

Download or read book Is the Fisher Effect for Real? written by Frederic S. Mishkin and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic puzzle about the so-called Fisher effect, in which movements in short-term interest rates primarily reflect fluctuations in expected inflation, is why a strong Fisher effect occurs only for certain periods but not for others. This paper resolves this puzzle by reexamining the relationship between inflation and interest rates with modern time-series techniques. Recognition that the level of inflation and interest rates may contain stochastic trends suggests that the apparent ability of short-term interest rates to forecast inflation in the postwar United States is spurious. Additional evidence does not support the presence of a short-run Fisher effect but does support the existence of a long-run Fisher effect in which inflation and interest rates trend together in the long run when they exhibit trends. The evidence here can explain why the Fisher effect appears to be strong only for particular sample periods, but not for others. The conclusion that there is a long-run Fisher effect implies that when inflation and interest rates exhibit trends, these two series will trend together and thus there will be a strong correlation between inflation and interest rates. On the other hand, the nonexistence of a short-run Fisher effect implies that when either inflation and interest rates do not display trends, there is no long-run Fisher effect to produce a strong correlation between interest rates and inflation. The analysis in this paper resolves an important puzzle about when the Fisher effect appears in the data.

The Behavioral Economics of Inflation Expectations

Author : Tobias F. Rötheli
Publisher :
ISBN 13 : 9781316987056
Total Pages : pages
Book Rating : 4.9/5 (87 download)

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Book Synopsis The Behavioral Economics of Inflation Expectations by : Tobias F. Rötheli

Download or read book The Behavioral Economics of Inflation Expectations written by Tobias F. Rötheli and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "The notion that expectations play a key role in economic decision making is a very old one. Over the past 100 years, major advances in the application of this insight in the formulation of economic models have been made in various subfields of economics. The concept of extrapolation, the idea that past observations of a series are the basis for making projections into the future, was present from the start of the modeling of dynamic economic processes"--

The Fisher Hypothesis and Inflation Persistence

Author : Wensheng Peng
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Fisher Hypothesis and Inflation Persistence by : Wensheng Peng

Download or read book The Fisher Hypothesis and Inflation Persistence written by Wensheng Peng and published by International Monetary Fund. This book was released on 1995-11 with total page 36 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.

NBER Macroeconomics Annual 2003

Author : Mark Gertler
Publisher : Mit Press
ISBN 13 : 9780262072533
Total Pages : 432 pages
Book Rating : 4.0/5 (725 download)

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Book Synopsis NBER Macroeconomics Annual 2003 by : Mark Gertler

Download or read book NBER Macroeconomics Annual 2003 written by Mark Gertler and published by Mit Press. This book was released on 2004 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers to an audience of public policymakers and the academic community. Each commissioned paper is followed by comments and discussion. This year's edition provides a mix of cutting-edge research and policy analysis on such topics as productivity and information technology, the increase in wealth inequality, behavioral economics, and inflation.

The Purchasing Power of Money

Author : Irving Fisher
Publisher :
ISBN 13 :
Total Pages : 558 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis The Purchasing Power of Money by : Irving Fisher

Download or read book The Purchasing Power of Money written by Irving Fisher and published by . This book was released on 1911 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt:

IMF Staff Papers, Volume 49, No. 2

Author : Mr.Robert P. Flood
Publisher : International Monetary Fund
ISBN 13 : 9781589061194
Total Pages : 122 pages
Book Rating : 4.0/5 (611 download)

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Book Synopsis IMF Staff Papers, Volume 49, No. 2 by : Mr.Robert P. Flood

Download or read book IMF Staff Papers, Volume 49, No. 2 written by Mr.Robert P. Flood and published by International Monetary Fund. This book was released on 2002-07-11 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores sources of the output collapse in Russia during transition. A modified growth-accounting framework is developed that takes into account changes in factor utilization that are typical of the transition process. The results indicate that declines in factor inputs and productivity were both important determinants of the output fall. The paper analyzes the behavior of real commodity prices over the 1862–1999 progress. It also examines whether average stocks of health and education are converging across countries, and calculates the speed of their convergence using data from 84 countries for 1970–90.

A Comparison of Australian Inflation Forecasts

Author : Ramya Hewarathna
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis A Comparison of Australian Inflation Forecasts by : Ramya Hewarathna

Download or read book A Comparison of Australian Inflation Forecasts written by Ramya Hewarathna and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Comparative Analysis of Expected Inflation Estimates and the Resulting Implications for Financial Asset Returns

Author : Robert T. Kleiman
Publisher :
ISBN 13 :
Total Pages : 364 pages
Book Rating : 4.3/5 (129 download)

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Book Synopsis A Comparative Analysis of Expected Inflation Estimates and the Resulting Implications for Financial Asset Returns by : Robert T. Kleiman

Download or read book A Comparative Analysis of Expected Inflation Estimates and the Resulting Implications for Financial Asset Returns written by Robert T. Kleiman and published by . This book was released on 1986 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Alternative Monetary Regimes

Author : Colin Dearborn Campbell
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Alternative Monetary Regimes by : Colin Dearborn Campbell

Download or read book Alternative Monetary Regimes written by Colin Dearborn Campbell and published by . This book was released on 1986 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Long-run Fisher Effect

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (2 download)

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Book Synopsis The Long-run Fisher Effect by :

Download or read book The Long-run Fisher Effect written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Empirical support for the long-run Fisher effect, a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate, has been hard to come by. This paper provides a plausible explanation of why past studies have been unable to find support for the long-run Fisher effect. This paper argues that the necessary permanent change to the inflation rate following a monetary shock has not occurred in the industrialized countries of Australia, Austria, Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Norway, Sweden, Switzerland, the United Kingdom, and the United States. Instead, this paper shows that inflation in these countries follows a mean-reverting, fractionally integrated, long-memory process, not the nonstationary inflation process that is integrated of order one or larger found in previous studies of the Fisher effect. Applying a bivariate maximum likelihood estimator to a fractionally integrated model of inflation and the nominal interest rate, the inflation rate in all seventeen countries is found to be a highly persistent, fractionally integrated process with a positive differencing parameter significantly less than one. Hence, in the long run, inflation in these countries will be unaffected by a monetary shock, and a test of the long-run Fisher effect will be invalid and uninformative as to the truthfulness of the long-run Fisher effect hypothesis."--Federal Reserve Bank of Atlanta web site.

Economic Policy and the Great Stagflation

Author : Alan S. Blinder
Publisher : Elsevier
ISBN 13 : 1483264564
Total Pages : 244 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Economic Policy and the Great Stagflation by : Alan S. Blinder

Download or read book Economic Policy and the Great Stagflation written by Alan S. Blinder and published by Elsevier. This book was released on 2013-09-11 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Policy and the Great Stagflation discusses the national economic policy and economics as a policy-oriented science. This book summarizes what economists do and do not know about the inflation and recession that affected the U.S. economy during the years of the Great Stagflation in the mid-1970s. The topics discussed include the basic concepts of stagflation, turbulent economic history of 1971-1976, anatomy of the great recession and inflation, and legacy of the Great Stagflation. The relation of wage-price controls, fiscal policy, and monetary policy to the Great Stagflation is also elaborated. This publication is beneficial to economists and students researching on the history of the Great Stagflation and policy errors of the 1970s.