The Term Structure of Interest Rates, Real Activity and Inflation PDF Download
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Author: Philip W. Lowe
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 35
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Book Description
Author: Philip W. Lowe
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 35
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Book Description
Author: Sylvester C. W. Eijffinger
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short-term interest rates to ultimate policy objectives. Therefore, short term interest rates in the central bank's forward looking monetary policy rule need to respond more strongly to the output gap and deviations of inflation from its target. Thus, in general the term structure implies a higher degree of policy activism. Next, we show that both the sensitivity of the term spread to economic fundamentals, and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. If the central bank becomes relatively less concerned about inflation stabilization the term spread becomes less sensitive to fundamentals, and the spread will be less successful in predicting real economic activity.
Author: Li-Hsueh Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
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Book Description
Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
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Book Description
Author: David Kim
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 42
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Book Description
Author: Kenneth Jan Singleton
Publisher:
ISBN:
Category : Cycles
Languages : en
Pages : 408
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Book Description
Author: Sylvester C. W. Eijffinger
Publisher:
ISBN:
Category : Anti-inflationary policies
Languages : en
Pages : 48
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Book Description
Author: Arturo Estrella
Publisher:
ISBN:
Category : Banks and banking, Central
Languages : en
Pages : 41
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Book Description
Author: Andrew Ang
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 82
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Book Description
Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.
