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Forecasting inflation with a zero lower bound or negative interest rates : evidence from point and density forecasts

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …

Persistent link: https://www.econbiz.de/10013176885

How Low Can Central Banks Go? The Banking Threshold to Negative Interest Rates

Berriel, Tiago - 2019

Abstract Negative interest rates policies (NIRP), usually depicted in economic textbooks as an impossibility due to the prospect of infinite demand for money, are now a reality in several countries due to different reasons. But while the ZLB has been surpassed when it comes to Central Banks, it...

Persistent link: https://www.econbiz.de/10012899581

Optimal Interest Rate Rules and Inflation Stabilization versus Price-Level Stabilization

Giannoni, Marc Paolo - 2012

This paper compares the properties of interest rate rules such as simple Taylor rules and rules that respond to price-level fluctuations — called Wicksellian rules — in a basic forward-looking model. By introducing appropriate history dependence in policy, Wicksellian rules perform better...

Persistent link: https://www.econbiz.de/10013110962

Optimal interest rate rules and inflation stabilization versus price-level stabilization

Giannoni, Marc Paolo - 2012

This paper compares the properties of interest rate rules such as simple Taylor rules and rules that respond to price-level fluctuations - called Wicksellian rules - in a basic forward-looking model. By introducing appropriate history dependence in policy, Wicksellian rules perform better than...

Persistent link: https://www.econbiz.de/10009522769

Low Latency Interest Rate Markets - Theory, Pricing & Practice (Presentation Slides)

Burgess, Nicholas - 2023

The primary aim of this presentation is to introduce my new book "Low Latency Interest Rate Markets" and expose the reader to the theory and practice of interest rate markets. Interest rate markets exist to support government, corporate and project finance, however the financing of large-scale...

Persistent link: https://www.econbiz.de/10014255805

Multivariate macroeconomic forecasting : from DSGE and BVAR to artificial neural networks

Tänzer, Alina - 2024

-time data (1964Q2:2020Q3) for 8 macroeconomic time series (GDP, inflation, federal funds rate, spread, consumption, investment … including them in a weighted average. Especially, ANNbased inflation forecasts improve other predictions by up to 50%. These …

Persistent link: https://www.econbiz.de/10014532351

Forecasting inflation with a zero lower bound or negative interest rates : evidence from point and density forecasts

Anderl, Christina; Caporale, Guglielmo Maria - In: The Manchester School 91 (2023) 3, pp. 171-232

Persistent link: https://www.econbiz.de/10014252210

Effectiveness of Interest Rate Channel in Price and Output Determination in the Post Financial Liberalization Era of a Developing Economy : Evidence from India

Ahmed, Mudabber - 2008

This paper measures the magnitude of money and interest rate shocks in explaining the price and output movement in the post financial liberalization era of India. The objective is achieved through technique termed historical decomposition within the framework of Vector autoregressive Model....

Persistent link: https://www.econbiz.de/10014215338

Disagreement among forecasters in G7 countries

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jiri - 2009

, consumption, investment and unemployment) has a distinct dynamic from disagreement about nominal variables (inflation and interest … nominal series. Country-by-country regressions for inflation and interest rates reveal that both the level of disagreement and …

Persistent link: https://www.econbiz.de/10011605128

Disagreement among Forecasters in G7 Countries

Dovern, Jonas - 2012

Persistent link: https://www.econbiz.de/10013116851