| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4134 |
| 来源ID | Working Paper 4134 |
| Do Expected Shifts in Inflation Policy Affect Real Rates? | |
| Karen K. Lewis; Martin D. Evans | |
| 发表日期 | 1992-08-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | This paper presents a new explanation for the negative correlation between ex post real interest rates and inflation found in earlier empirical studies. We begin by showing that there is a strong negative correlation between the permanent movements in ex post real interest rates and inflation. We argue that such a correlation can arise when people incorporate anticipated shifts in inflation policy into their expectations. Under these circumstances, a shift to lower (higher) inflation will lead to systematically higher (lower) ex post real rates. Using new time series techniques we are able to reject the hypothesis that nominal interest rates were unaffected by anticipated switches in inflation policy in the post-war era. To evaluate the impact of these switches, we then calculate the effects of inflationary expectations upon real rates using a Markov switching model of inflation. Inflation forecasts based upon the estimates of this rational model behave similarly to inflation forecasts from the Livingston survey. When ex ante real interest rates are identified with the Markov models of inflation, we find that ex ante real interest rate does not contain permanent shocks, nor is it related to permanent shocks in inflation. |
| 主题 | Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w4134 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561486 |
| 推荐引用方式 GB/T 7714 | Karen K. Lewis,Martin D. Evans. Do Expected Shifts in Inflation Policy Affect Real Rates?. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4134.pdf（458KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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