| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1594 |
| DP1594 Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates | |
| Michael Artis; Wenda Zhang | |
| 发表日期 | 1997-03-27 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | Historical estimates of the Fisher effect and the informational content in the yield curve may not be relevant after a change in monetary policy. This paper uses a small dynamic rational expectations model with staggered price setting to study how central bank preferences (and thereby monetary policy) affect the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters, including the Federal Reserve Bank?s loss function parameters, are estimated by maximum likelihood on quarterly US data. The policy experiments include stronger inflation targeting, more active monetary policy, and a change in commitment technology. |
| 主题 | International Macroeconomics |
| 关键词 | Fisher effect Inflation expectations Interest rates Kalman filter estimation monetary policy |
| URL | https://cepr.org/publications/dp1594 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530736 |
| 推荐引用方式 GB/T 7714 | Michael Artis,Wenda Zhang. DP1594 Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates. 1997. |
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