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Learning, Endogenous Indexation and Disinflation in the New-Keynesian Model

Wieland, Volker - C.E.P.R. Discussion Papers - 2008

This paper introduces adaptive learning and endogenous indexation in the New-Keynesian Phillips curve and studies … episode price-setting firms' expect inflation to be highly persistent and opt for backward-looking indexation. As the central … that choose the rate for indexation also re-assess the likelihood that announced inflation targets determine steady …

Persistent link: https://www.econbiz.de/10005114241

Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy

Landier, Augustin; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2014

We show that banks' cash flow exposure to interest rate risk, or income gap, plays a crucial role in their lending behavior following monetary policy shocks. In a first step, we show that the sensitivity of bank profits to interest rates increases significantly with their income gap, even when...

Persistent link: https://www.econbiz.de/10011145414

Estimating and Interpreting Forward Interest Rates: Sweden 1992-4

Svensson, Lars E O - C.E.P.R. Discussion Papers - 1994

The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden between 1992 and 1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency...

Persistent link: https://www.econbiz.de/10005123801

The Information Content of the Term Structure: Evidence for Germany

Gerlach, Stefan - C.E.P.R. Discussion Papers - 1995

This paper studies the usefulness of spreads between interest rates of different maturities as indicators of future inflation and real interest rates in Germany, using monthly data from the first quarter of 1967. The central results are two-fold. First, the interest rate spreads considered...

Persistent link: https://www.econbiz.de/10005067498

Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data

Inoue, Atsushi; Kilian, Lutz; Kiraz, Fatma Burcu - C.E.P.R. Discussion Papers - 2006

Survey data on household expectations of inflation are routinely used in economic analysis, yet it is not clear to what extent households are able to articulate their expectations in survey interviews. We propose an alternative approach to recovering households' implicit expectations of...

Persistent link: https://www.econbiz.de/10005067515

Forward Interest Rates as Indicators of Inflation Expectations

Söderlind, Paul - C.E.P.R. Discussion Papers - 1995

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper studies US and UK data, using a range of different tools...

Persistent link: https://www.econbiz.de/10005067661

Monetary Policy and the Fisher Effect

Söderlind, Paul - C.E.P.R. Discussion Papers - 1997

Historical estimates of the Fisher effect and the informational content in the yield curve may not be relevant after a change in monetary policy. This paper uses a small dynamic rational expectations model with staggered price setting to study how central bank preferences (and thereby monetary...

Persistent link: https://www.econbiz.de/10005497757

Constrained Discretion and Central Bank Transparency

Bianchi, Francesco; Melosi, Leonardo - C.E.P.R. Discussion Papers - 2014

We develop a theoretical framework to quantitatively assess the general equilibrium effects and welfare implications of central bank reputation and transparency. Monetary policy alternates between periods of active inflation stabilization and periods during which the emphasis on inflation...

Persistent link: https://www.econbiz.de/10011084074

The Simplest Test of Inflation Target Credibility

Svensson, Lars E O - C.E.P.R. Discussion Papers - 1994

A simple test of inflation target credibility is constructed by subtracting the maximum and minimum inflation rates consistent with the inflation targets from the yields to maturity on nominal bonds. This results in a target-consistent range of real yields on nominal bonds. If expected real...

Persistent link: https://www.econbiz.de/10005661572

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Acharya, Viral V; Lochstoer, Lars; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2009

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

Persistent link: https://www.econbiz.de/10005016244