The aim of this paper is to investigate whether the effectiveness of the transmission mechanism of monetary policy in Spain has changed since EMU establishment. The analysis is based on the fulfillment of the Expectations Hypothesis under rational expectations and the methodology is implemented...

It is widely believed that moderate and stable inflation rates promote the development process of a country, and hence economic growth. Moderate inflation supplements return to savers, enhances investment, and therefore, accelerates economic growth of the country. The main purpose of this study...

We test the hypothesis that the long-term Phillips curve is downward sloping and has become flatter in the last 10 to 15 years. Controlling for the most important other factors influencing the inflation rate, we estimate cointegrations and test whether a "break" in the Phillips curve can be...

In this paper, we consider a model where producers set their prices based on their prediction of the aggregated price level and an exogenous variable, which can be a demand or a cost-push shock. To form their expectations, they use OLS-type econometric learning with bounded memory. We show that...

Was UK inflation more stable and/or less uncertain before 1914 or after 1945? We address these questions by estimating a statistical model with changing volatilities in transient and persistent components of inflation. Three conclusions emerge. First, since periods of high and low volatility...

Following Friedman and Meiselman (1963), the role of money supply in determining income and output has been extensively studied both in the context of developed and developing economies. This paper tests the money-output relationship for Mexico. Drawing on the latest development in time series...

If long-term inflation expectations are well-anchored, they should be unaffected by short-term economic news. This letter introduces news-regressions with multiple endogenous breaks to investigate the de- and re-anchoring of US inflation expectations. We confirm earlier evidence on the...

Using monthly data from 1994 to 2013 we study the long-run relation of the pre-tax retail prices of gasoline with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short-...

Purpose – The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five inflation-targeting countries. Design/methodology/approach – The approach takes the form of a time-varying parameter model with a Generalized Autoregressive Conditional...