Heterogeneous Information About The Term Structure Of Interest Rates Least Squares Learning And Optimal Interest Rate Rules For Inflation Targeting PDF Download
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Author | : Eric Schaling |
Publisher | : |
Total Pages | : 53 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Heterogeneous Information About the Term Structure of Interest Rates, Least-Squares Learning and Optimal Interest Rate Rules for Inflation Targeting Book in PDF, ePub and Kindle
In this paper, we incorporate the term structure of interest rates in a standard inflation forecast targeting framework. Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e., the central bank and private agents - who have different information sets about the future sequence of short-term interest rates. We analyse inflation forecast targeting in two environments. One in which the central bank has perfect knowledge, in the sense that it understands and observes the process by which private sector interest rate expectations are generated, and one in which the central bank has imperfect knowledge and has to learn the private sector forecasting rule for short-term interest rates. In the case of imperfect knowledge, the central bank has to learn about private sector interest rate expectations, as the latter affect the impact of monetary policy through the expectations theory of the term structure of interest rates. Here, following Evans and Honkapohja (2001), the learning scheme we investigate is that of least-squares learning (recursive OLS) using the Kalman filter. We find that optimal monetary policy under learning is a policy that separates estimation and control. Therefore, this model suggests that the practical relevance of the breakdown of the separation principle and the need for experimentation in policy may be limited.
Author | : Eric Schaling |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Heterogeneous Information about the Term Structure of Interest Rates, Least-squares Learning and Optimal Interest Rate Rules for Inflation Forecast Targeting Book in PDF, ePub and Kindle
Author | : Sylvester C. W. Eijffinger |
Publisher | : |
Total Pages | : 34 |
Release | : 2004 |
Genre | : Inflation (Finance) |
ISBN | : |
Download Heterogenous Information about the Term Structure of Interest Rates, Least-squares Learning and Optimal Interest Rate Rules Book in PDF, ePub and Kindle
Author | : Eric Schaling |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Heterogenous Information about the Term Structure, Least-squares Learning and Optimal Rules for Inflation Targeting Book in PDF, ePub and Kindle
Author | : Sylvester C. W. Eijffinger |
Publisher | : |
Total Pages | : 48 |
Release | : 2000 |
Genre | : Anti-inflationary policies |
ISBN | : |
Download The Term Structure of Interest Rates and Inflation Forecast Targeting Book in PDF, ePub and Kindle
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Download Modeling the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author | : Frank Browne |
Publisher | : [Paris, France] : OECD, Department of Economics and Statistics |
Total Pages | : 40 |
Release | : 1989 |
Genre | : Inflation (Finance) |
ISBN | : |
Download The Information Content of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Sylvester C. W. Eijffinger |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : |
ISBN | : |
Download The Term Structure of Interest Rates and Inflation Book in PDF, ePub and Kindle
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short-term interest rates to ultimate policy objectives. Therefore, short term interest rates in the central bank's forward looking monetary policy rule need to respond more strongly to the output gap and deviations of inflation from its target. Thus, in general the term structure implies a higher degree of policy activism. Next, we show that both the sensitivity of the term spread to economic fundamentals, and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. If the central bank becomes relatively less concerned about inflation stabilization the term spread becomes less sensitive to fundamentals, and the spread will be less successful in predicting real economic activity.
Author | : Josephine M. Smith |
Publisher | : |
Total Pages | : 56 |
Release | : 2007 |
Genre | : Interest rates |
ISBN | : |
Download The Long and the Short End of the Term Structure of Policy Rules Book in PDF, ePub and Kindle
We first document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States. The shift occurred in the early 1980s. We then derive an equation that links these responses to the coefficients of the central bank's monetary policy rule for the short-term interest rate. The equation reveals two countervailing forces that help explain and understand the nature of the link and how its sign is determined. Using this equation, we show that a shift in the policy rule in the early 1980s provides an explanation for the observed shift in the term structure. We also explore a shift in the policy rule in the 2002-2005 period and its possible effect on long-term rates.
Author | : |
Publisher | : |
Total Pages | : 726 |
Release | : 2004 |
Genre | : Banks and banking |
ISBN | : |
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