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Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market ?
Ege, Yazgan; Huseyin, Kaya - Volkswirtschaftliche Fakultät, … - 2010
after IT. Since the implementation of IT, term structure of interest rates has seemed to gain considerable forecasting power …
Persistent link: https://www.econbiz.de/10008534214
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Some empirical evidence of the euro area monetary policy
Forte, Antonio - Volkswirtschaftliche Fakultät, … - 2010
In this paper I try to find some empirical evidence of the European Central Bank’s behaviour from its outset, January 1999, to the mid 2007, using a Taylor-type rule. I test a new and simple method for estimating the output gap in order to avoid problems linked with the estimate of the...
Persistent link: https://www.econbiz.de/10008541500
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Is India Ready for Flexible Inflation-Targeting?
Sen Gupta, Abhijit; Sengupta, Rajeswari - Volkswirtschaftliche Fakultät, … - 2014
In this paper we analyze whether the current macroeconomic environment in India is suitable for implementation of inflation targeting as a monetary policy strategy, in light of the recommendation of the Urjit Patel Committee Report. Our results indicate that historically the Reserve Bank of...
Persistent link: https://www.econbiz.de/10011108891
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Estimating a monetary policy rule for India
Hutchison, Michael; Sengupta, Rajeswari; Singh, Nirvikar - Volkswirtschaftliche Fakultät, … - 2010
This paper investigates whether the seemingly discretionary and flexible approach of the Reserve Bank of India can in practice be described by a Taylor-type rule. It estimates an exchange-rate-augmented Taylor rule for India over the period Quarter 1 of 1980 to Quarter 4 of 2008. It investigates...
Persistent link: https://www.econbiz.de/10011109028
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Estimating a Monetary Policy Rule for India
Hutchison, Michael; Sengupta, Rajeswari; Singh, Nirvikar - Volkswirtschaftliche Fakultät, … - 2010
We investigate whether the seemingly discretionary and flexible approach of India’s central bank, the Reserve Bank of India (RBI), can in practice be described by a Taylor-type rule. We estimate an exchange rate-augmented Taylor rule for India over the period 1980Q1 to 2008Q4, allowing for...
Persistent link: https://www.econbiz.de/10008592932
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The interest rate spread as a forecasting tool of greek industrial production
Gogas, Periklis; Pragkidis, Ioannis - Volkswirtschaftliche Fakultät, … - 2010
variables: the Greek unemployment rate and the FTSE-100 stock index returns. The methodology employed in the effort to forecast … function of the standard distribution, using several formal forecasting and goodness of fit evaluation tests. The results show … that the yield curve augmented with the composite stock index has significant forecasting power in terms of the industrial …
Persistent link: https://www.econbiz.de/10008470478
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Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads
Hännikäinen, Jari - Volkswirtschaftliche Fakultät, … - 2014
This paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results suggest that the predictive power of some interest rate spreads have...
Persistent link: https://www.econbiz.de/10011108827
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A simple empirical measure of central banks' conservatism
Levieuge, Grégory; Lucotte, Yannick - Volkswirtschaftliche Fakultät, … - 2012
In this paper we suggest a simple empirical and model-independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in...
Persistent link: https://www.econbiz.de/10011107702
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A simple empirical measure of central banks' conservatism
Levieuge, Grégory; Lucotte, Yannick - Volkswirtschaftliche Fakultät, … - 2012
In this paper we suggest a simple empirical and model-independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in...
Persistent link: https://www.econbiz.de/10011111955
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Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic
Horvath, Roman - Volkswirtschaftliche Fakultät, … - 2006
that there is substantial interest rate smoothing and central bank primarily responds to inflation (forecast) developments …
Persistent link: https://www.econbiz.de/10005619330