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Nominal Rates, Real Rates and Expected Inflation

The Term Structure of Real Rates and Expected Inflation

The Term Structure of Real Rates and Expected Inflation

... interest rates. The empirical evidence for RS behavior in interest rates is very strong and confirmed in many articles (see, among many others, Hamilton, 1988; Gray, 1996; Sola and Driffill, 1994; Bekaert ...

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Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates

Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates

... of real rates and expected inflation, but also for influencing fluctuations in risk premia, the use of discrete time GARCH models simplifies estimation with little sacrifice in ...

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Asymmetric Responses of Nominal Rates, TIPS Rates, Break-Even Inflation Rates, and the Stock-Bond Correlation to Macroeconomic Announcements

Asymmetric Responses of Nominal Rates, TIPS Rates, Break-Even Inflation Rates, and the Stock-Bond Correlation to Macroeconomic Announcements

... forward rates of nominal and inflation-indexed bonds as well as realizations of stock and bond index returns, I examine the informational con- tent of a broad set of macroeconomic ...break-even ...

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Inflation expectations, real rates, and risk premia: evidence from inflation swaps

Inflation expectations, real rates, and risk premia: evidence from inflation swaps

... term real interest rate is typically the most volatile component of the yield curve, and it is especially important to allow its volatility to be ...stochastic. Real rates were negative for much of ...

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Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

... uses nominal term structure models to decompose nominal bond yields into expected inflation, expected real rates, inflation risk premia, and po- tentially ...of ...

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Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology

Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology

... One advantage of the approach used in this paper is that it does not require the often-used assumption that the ex ante real interest rate is constant. 4 This rate is only assumed to be stationary. Another ...

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Do Expected Shifts in Inflation Policy Affect Real Rates?

Do Expected Shifts in Inflation Policy Affect Real Rates?

... Under standard rational expectations assumptions, (2') also shows that the cx post real rate is equal to the cx ante real rate and a stationary 1(0) term. From this perspective, the resu[r] ...

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Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting

Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting

... the real short rate and its central tendency, ...the real rate is larger during the inflation targeting period than during the ERM period, but for the variability of the real rate the opposite ...

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The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates

The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates

... discounted value of their coupon and principal payments. Appendix 2 gives details of the computation. The Wall Street Journal, the Bloomberg Screen and Website 7 and, most recently, the Federal Reserve Bank of St. Louis ...

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Price Inflation, Portfolio Choice, and Nominal Interest Rates

Price Inflation, Portfolio Choice, and Nominal Interest Rates

... with the coefficients of the distributed lag on the short-term yield not significantly different from zero. Re—estimating the Feldstein—Eckstejn equation using the Aa yield and the l960:[r] ...

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Real interest rates and inflation in Norway

Real interest rates and inflation in Norway

... estimated. Model 2 most likely failed because of the existence of a structural break over the estimation window. Models 3 and 4, although posting significant error correction equations, failed because the restrictions ...

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The Impact of Real and Nominal Shocks on Australian Real Exchange Rates

The Impact of Real and Nominal Shocks on Australian Real Exchange Rates

... Real shocks such as a favourable productivity shock in the traded goods sector or an increase in the real price of exports leads to excess demand for non-traded goods at consta[r] ...

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The optimal inflation buffer with a zero bound on nominal interest rates

The optimal inflation buffer with a zero bound on nominal interest rates

... be expected to ...of inflation indexation in the economy, θ, being either 0 or the baseline ...more inflation indexation in the economy inflation and inflation promises of the central ...

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The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates

The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates

... be expected to ...of inflation indexation in the economy, θ, being either 0 or the baseline ...more inflation indexation in the economy inflation and inflation promises of the central ...

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Why Are Inflation and Real Interest Rates So Low? A Mechanism of Low and Floating Real Interest and Inflation Rates

Why Are Inflation and Real Interest Rates So Low? A Mechanism of Low and Floating Real Interest and Inflation Rates

... the real lending rates of banks (the nominal lending rates of banks minus the inflation rate) to firms are very low and lower than MPK, a firm will not undertake additional investments ...

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Three questions concerning nominal and real interest rates

Three questions concerning nominal and real interest rates

... When the federal deficit was used, neither fiscal nor monetary policy was estimated to have contributed much to the behavior of the real rate over the same period.. ApPENDIX.[r] ...

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Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates

Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates

... of expected real interest rates during the first year since the shock in explaining unexpected movements in nominal interest rates clearly dominated during the pre-crisis period in all ...

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The Relationship between Real Interest Rates and Inflation

The Relationship between Real Interest Rates and Inflation

... between Real Interest Rates and Inflation Micha ł Brzoza-Brzezina * Abstract In the recent decade, a huge amount of papers, describing monetary policy rules based on nominal interest ...

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The Relationship between Real Interest Rates and Inflation

The Relationship between Real Interest Rates and Inflation

... that inflation should be ...set, inflation should be I(1), and its growth rate ∆π ...the real level of integration of the price level cannot be stated unambiguously from table 5, none of the models ...

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Canadian Monetary Policy and Real and Nominal Exchange Rates [Revised]

Canadian Monetary Policy and Real and Nominal Exchange Rates [Revised]

... borrowing rates in Canada nevertheless provides a good method of influencing the expected domestic inflation rate, which is crucially impor- tant for ...While nominal exchange rate adjustments, and ...

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