| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6829 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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