G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6829
DP6829 Asymmetric Cartels - a Theory of Ring Leaders
Lars Persson; Mattias Ganslandt; Helder Vasconcelos
发表日期2008-05-18
出版年2008
语种英语
摘要We use evidence from the term structure of inflation expectations implicit in the nominal yields and survey forecasts of inflation to address the question of whether or not monetary policy is effective. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury yields by allowing for differences between risk-neutral, subjective, and objective probability measures. We extract private sector expectations of inflation from this model and establish that they are driven by inflation, real activity and one latent factor, which is correlated with survey forecasts. We show that the interest rate responds to this "survey" factor. The inflation premium and out-of-sample estimates of the inflation long-run mean and persistence suggest that monetary policy became effective over time. As an implication, our model outperforms a standard macro-finance model in inflation and yield forecasting.
主题Financial Economics
关键词inflation Macro-finance term structure model monetary policy Survey forecasts
URLhttps://cepr.org/publications/dp6829
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/535658
推荐引用方式
GB/T 7714
Lars Persson,Mattias Ganslandt,Helder Vasconcelos. DP6829 Asymmetric Cartels - a Theory of Ring Leaders. 2008.
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