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

Wieland, Volker - Center for Financial Studies - 2008

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 …-state inflation and adjust indexation of contracts accordingly. A strategy of announcing and pursuing short-term targets for inflation …

Persistent link: https://www.econbiz.de/10005007625

Learning, endogenous indexation and disinflation in the New-Keynesian model

Wieland, Volker - Center for Financial Studies - 2008

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 …-state inflation and adjust indexation of contracts accordingly. A strategy of announcing and pursuing short-term targets for inflation …

Persistent link: https://www.econbiz.de/10011200313

Imperfect knowledge, inflation expectations, and monetary policy

Orphanides, Athanasios; Williams, John C. - Center for Financial Studies - 2003

perform poorly when knowledge is imperfect. In particular, policies that fail to maintain tight control over inflation are … prone to episodes in which the publics expectations of inflation become uncoupled from the policy objective and stagflation … effective communication of a central banks inflation objective and of continued vigilance against inflation in anchoring …

Persistent link: https://www.econbiz.de/10010986502

Imperfect Knowledge, Inflation Expectations, and Monetary Policy

Orphanides, Athanasios; Williams, John C. - Center for Financial Studies - 2003

perform poorly when knowledge is imperfect. In particular, policies that fail to maintain tight control over inflation are … prone to episodes in which the public’s expectations of inflation become uncoupled from the policy objective and stagflation … effective communication of a central bank’s inflation objective and of continued vigilance against inflation in anchoring …

Persistent link: https://www.econbiz.de/10005120765

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2014

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...

Persistent link: https://www.econbiz.de/10010958503

Stock returns and expected business conditions: Half a century of direct evidence

Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

Persistent link: https://www.econbiz.de/10010958776

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10005176432

Modeling bond yields in finance and macroeconomics

Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - Center for Financial Studies - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10010958495

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - Center for Financial Studies - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10010958623

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Boragan - Center for Financial Studies - 2003

observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a …

Persistent link: https://www.econbiz.de/10010958662