Term Structures of Inflation Expectations and Real Interest Rates
نویسندگان
چکیده
منابع مشابه
Interest Rates, ECB Communication and Inflation Expectations
Guiding and anchoring inflation expectations of the public are key tasks of modern central banks. In this paper we investigate how the European Central Bank (ECB) influences inflation expectations of professional forecasters. We argue that it is a good sign that interest rate changes as such are not significant in explaining inflation expectations: The ECB has been able to prepare professional ...
متن کاملWhy Are Inflation and Real Interest Rates So Low? A Mechanism of Low and Floating Real Interest and Inflation Rates
Real interest and inflation rates have been very low in many industrialized countries since the Great Recession. In this paper, a mechanism of low and floating real interest and inflation rates is examined based on the concept a “Nash equilibrium of a Pareto inefficient path” and the law of motion for trend inflation. I show that, because the link between the marginal product of capital and the...
متن کاملExpectations of Inflation, the Term Structure of Interest Rates and Monetary Policy
This paper provides a theoretical framework for understanding how monetary policy can be used to control expectations of inflation. We study a simple production economy with a cash-in-advance constraint in which monetary-fiscal policy is Ricardian. Agents’ expectations are modeled as probability distributions on a finite set of possible inflation rates. The monetary authority announces a public...
متن کاملA market based approach to inflation expectations, risk premia and real interest rates ¬リニ
In this paper we approach the inflation expectations and the real interest rate by using the information contained in the yield curve. We decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. Under this approach we ...
متن کاملPredictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates
Despite its important role in macroeconomics and finance, the expectations hypothesis (EH) of the term structure of interest rates has received little empirical support. While the EH’s poor performance has been attributed to a variety of sources, none appear to account for the EH’s poor performance. Recent evidence (Diebold and Li, 2003; Duffee, 2002; and Carriero, et al., 2003) suggests the po...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2019
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2018.1529599