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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
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
We use a new Canadian household survey to examine how inflation uncertainty influences inflation expectations and … spending. Through randomized information interventions, we provide inflation statistics with or without second moments …, creating variations in households' inflation uncertainty. All information types effectively lower inflation expectations and …
Persistent link: https://www.econbiz.de/10015072881
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
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
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
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
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
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
implications for further aspects of investors' portfolio behavior, including expectations formation, response to inflation, and …
Persistent link: https://www.econbiz.de/10012478678