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Self-Fulfilling Expectations and Fluctuations in Aggregate Demand
Woodford, Michael - 1990
The paper presents an intertemporal general equilibrium model with rationing in the product market, in which stationary sunspot equilibria are shown to exist, indicating the possibility of fluctuations in economic activity simply due to self-fulfilling variations in economic agents'...
Persistent link: https://www.econbiz.de/10012475672
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From Chronic Inflation to Chronic Deflation : Focusing on Expectations and Liquidity Disarray Since WWII
Calvo, Guillermo A. - 2016
The paper discusses policy relevant models, going from (1) chronic inflation in the 20th century after WWII, to (2 …
Persistent link: https://www.econbiz.de/10012456144
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The Business Cycles of Balance-of-Payment Crises : A Revision of Mundellan Framework
Mendoza, Enrique G. - 1999
In his seminal 1960 article Robert Mundell proposed a model of balance-of-payments crises in which confidence in the continuation of a currency peg depended on the observed holdings of central bank foreign reserves. We examine the implications of a reformulation of this view from the perspective...
Persistent link: https://www.econbiz.de/10012471756
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Imperfect Knowledge, Inflation Expectations, and Monetary Policy
Orphanides, Athanasios - 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/10012468813
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Exchange-Rate Expectations and Nominal Interest Differentials : A Test ofthe Fisher Hypothesis
Cumby, Robert E. - 1980
This note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period. This proposition, often called the "Fisher open" hypothesis or the...
Persistent link: https://www.econbiz.de/10012478598
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New Techniques to Extract Market Expectations from Financial Instruments
Soderlind, Paul - 1997
expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely …
Persistent link: https://www.econbiz.de/10012472951
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Growth Expectations, Dividend Yields, and Future Stock Returns
Da, Zhi - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10012458014
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Floating Exchange Rates, Expectations and New Information
Edwards, Sebastian - 1983
This paper analyzes the relationship between forward exchange rates,future spot rates and new information. A stochastic model of exchangerate determination is used to formally show how unanticipated changes in the exchange rate determinants (or "news") affect the spot rate. The empirical...
Persistent link: https://www.econbiz.de/10012478039
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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 1980
implications for further aspects of investors' portfolio behavior, including expectations formation, response to inflation, and …
Persistent link: https://www.econbiz.de/10012478678
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Expectations and the Forward Exchange Rate
Hakkio, Craig S. - 1980
This paper provides an empirical examination of the hypothesis that the forward exchange rate provides an "optimal" forecast of the future spot ex-change rate, for five currencies relative to the dollar. This hypothesis provides a convenient norm for examining the erratic behavior of exchange...
Persistent link: https://www.econbiz.de/10012478706