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This paper uses a novel teat to see whether the Herse (1985) and Woo (1985) models are consistent with the variability of the deutschemark - dollar exchange rate 1974-1984. The answer, perhaps surprisingly, is yes. Both models, however, explain the month to month variability as resulting in a...
Persistent link: https://www.econbiz.de/10013210680
approximately 80 percent. If the Federal Reserve had followed Average Inflation Targeting – which can arguably approximate the new …
Persistent link: https://www.econbiz.de/10014092964
interest, inflation, currency depreciation and inflation differentials. Forward rates are related to these expected future … variables via combinations of term, inflation and foreign exchange risk premia. A unified derivation, discussion and comparison …
Persistent link: https://www.econbiz.de/10013225406
future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates … helps to predict the difference between the 12-month and 3-month inflation rates. His approach however, lacks a theoretical … the problem of predicting the inflation spread. It is shown that the appropriate indicator of expected inflation can make …
Persistent link: https://www.econbiz.de/10013235610
with expected inflation. Given the importance of this adjustment for questions of both monetary theory and monetary policy … nominal interest rates and expected price inflation, portfolio behavior is the most plausibly flexible in the short run. Since … important lenders' portfolio behavior can be in bringing about the adjustment of interest rates which Fisher's theory associates …
Persistent link: https://www.econbiz.de/10012763220
short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates …
Persistent link: https://www.econbiz.de/10012767717
This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … model, the empirical results suggest that inflation uncertainty has a negative impact on nominal interest rates and a …
Persistent link: https://www.econbiz.de/10013310253
This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...
Persistent link: https://www.econbiz.de/10013310822
Forward guidance about future policy settings, in the form of a published policy-rate path, has for many years been a natural part of normal monetary policy for several central banks, including the Reserve Bank of New Zealand and the Swedish Riksbank. More recently, the Federal Reserve has...
Persistent link: https://www.econbiz.de/10013039629
The object of this paper is to bring to bear on financial-non financial interactions a richer approach to modeling the determination of long-term interest rates. in a series of previous papers. I have developed an alternative model based explicitly on the truism that any factor affecting...
Persistent link: https://www.econbiz.de/10013220969