Forecasting Inflation Using Interest Rate and Time-series Models PDF Download
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Author: Rik W. Hafer
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 34
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Book Description
Author: Rik W. Hafer
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 34
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Book Description
Author: Peter J. N. Sinclair
Publisher: Routledge
ISBN: 1135179778
Category : Business & Economics
Languages : en
Pages : 402
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Book Description
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.
Author: Ramya Hewarathna
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 40
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Book Description
Author: Keshab Shrestha
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 10
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Book Description
Author: Sungjun Kang
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 404
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Book Description
This dissertation examines the predictive power of inflation indicators with a probit model. Until the late 1980s commodity price indexes and oil prices gave a good performance in forecasting inflation target ranges. These variables showed power in signaling the occurrence of high inflation. However, in the 1990s these variables show a sharp decrease in the ability to forecast inflation. Interest rates exhibit stable forecasting power for inflation, and if anything, show a better performance in the 1990s than in earlier period. In contrast to Cecchetti's (1995) regression model, in the probit model inflation indicators provide additional information over and above that provided by past inflation for point estimates for inflation and for inflation target ranges. The forecasting performance of the probit model is compared to that of regression models by using the probit model to generate point-estimates for future inflation. The point estimate for inflation in the probit model is the inflation rate at which there is fifty-fifty chance that inflation will be either below or above that point. Inflation forecasts from the probit model are better than those from the regression model at the 1-year horizon and 1-2 year horizon.
Author: Elia Kacapyr
Publisher: M.E. Sharpe
ISBN: 9781563247651
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
Widening the focus from the usual business forecasts, explains the techniques for predicting macroeconomic factors such as economic growth, interest rates, and employment. Reviews the concepts of business cycles and long waves, then describes techniques using economic indicators, time series, econometric models, and consensus. Also considers the evaluation of forecasts. Readers with a solid background in mathematics and statistics should learn now to make forecasts; others should get an intuitive understanding that will improve their interpretation of forecasts by others. Paper edition (unseen), $29.95. Annotation copyright by Book News, Inc., Portland, OR
Author: Helge Berger
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
We develop a tractable open-economy new-Keynesian model with two sectors to analyze the short-term effects of aid-financed fiscal expansions. We distinguish between spending the aid, which is under the control of the fiscal authorities, and absorbing the aid-using the aid to finance a higher current account deficit-which is influenced by the central bank's reserves policy when access to international capital markets is limited. The standard treatment of the transfer problem implicitly assumes spending equals absorption. Here, in contrast, a policy mix that results in spending but not absorbing the aid generates demand pressures and results in an increase in real interest rates. It can also lead to a temporary real depreciation if demand pressures are strong enough to threaten external balance. Certain features of low income countries, such as limited participation in domestic financial markets, make a real depreciation more likely by amplifying demand pressures when aid is spent but not absorbed. The results from our model can help understand the recent experience of Uganda, which saw an increase in government spending following a surge in aid yet experienced a real depreciation and an increase in real interest rates.
Author: Douglas Kenneth Pearce
Publisher:
ISBN:
Category : Prices
Languages : en
Pages : 390
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Book Description
Author: Todd E. Clark
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 102
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Book Description
Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically time--varying parameters, break dating, discounted least squares, Bayesian shrinkage, detrending of inflation and interest rates, and model averaging. Focusing on simple models of U.S. output, prices, and interest rates, this paper compares the effectiveness of such methods. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks
Author: Athanasios Orphanides
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 52
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Book Description
"A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation"--Abstract.
