Inflation Reports And Models
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Inflation Reports And Models
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Author : Mr.Ales Bulir
language : en
Publisher: International Monetary Fund
Release Date : 2014-05-29
Inflation Reports And Models written by Mr.Ales Bulir and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-29 with Business & Economics categories.
We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by comparing inflation factors reported by the central banks with ex-post model-identified factors. Regarding the former, we use verbal analysis and coding of inflation reports to describe inflation factors communicated by central banks in real time. Regarding the latter, we use reduced-form, new Keynesian models and revised data to approximate the true inflation factors. Positive correlations indicate that the reported inflation factors were similar to the true, model-identified ones and hence mark high-quality inflation reports. Although central bank reports on average identify inflation factors correctly, the degree of forward-looking reporting varies across factors, time, and countries.
Inflation Modeling Results For The U S And Four European Countries
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Author : John S. Brush
language : en
Publisher:
Release Date : 1980
Inflation Modeling Results For The U S And Four European Countries written by John S. Brush and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Economic forecasting categories.
"Results of research to develop non-judgmental forecasting models of U.S. and selected European wage inflation are reported. Models are characterized in terms of economic content and forecasting improvement over trend models."--Abstract, report documentation p.
Republic Of Mozambique Technical Assistance Report Inflation Targeting And Model Based Monetary Policy Analysis
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Author : International Monetary
language : en
Publisher: International Monetary Fund
Release Date : 2021-05-14
Republic Of Mozambique Technical Assistance Report Inflation Targeting And Model Based Monetary Policy Analysis written by International Monetary and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-14 with Business & Economics categories.
The purpose of the mission was to improve the understanding of the conduct of monetary policy in an inflation targeting (IT) central bank. During the September visit, the mission provided capacity building through daily morning seminars, giving an introduction to modern theory of monetary policy in small-open economies, and by performing monetary policy analyses based on BM’s quarterly projection model (QPM) in the afternoons.
Interest Rate Models Theory And Practice
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Author : Damiano Brigo
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-09-26
Interest Rate Models Theory And Practice written by Damiano Brigo and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-26 with Mathematics categories.
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Inflation Expectations
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Author : Peter J. N. Sinclair
language : en
Publisher: Routledge
Release Date : 2009-12-16
Inflation Expectations written by Peter J. N. Sinclair and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-16 with Business & Economics categories.
Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Whose Inflation Rates Matter Most A Dsge Model And Machine Learning Approach To Monetary Policy In The Euro Area
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Author : Daniel Stempel
language : en
Publisher:
Release Date : 2023
Whose Inflation Rates Matter Most A Dsge Model And Machine Learning Approach To Monetary Policy In The Euro Area written by Daniel Stempel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European Central Bank (ECB) conducted monetary policy between 2002 and 2022 according to the weighted average of the inflation rates within the European Monetary Union (EMU) or reacted more strongly to the inflation rate developments of certain EMU countries. The New Keynesian model first generates data which is used to train and evaluate several machine learning algorithms. They authors find that a neural network performs best out-of-sample. They use this algorithm to generally classify historical EMU data, and to determine the exact weight on the inflation rate of EMU members in each quarter of the past two decades. Their findings suggest disproportional emphasis of the ECB on the inflation rates of EMU members that exhibited high inflation rate volatility for the vast majority of the time frame considered (80%), with a median inflation weight of 67% on these countries. They show that these results stem from a tendency of the ECB to react more strongly to countries whose inflation rates exhibit greater deviations from their long-term trend.
A Simple Dge Model For Inflation Targeting
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Author : Jaromir Benes
language : en
Publisher: International Monetary Fund
Release Date : 2007-08
A Simple Dge Model For Inflation Targeting written by Jaromir Benes and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08 with Business & Economics categories.
The paper presents a DGE model designed as a core projection tool to support monetary policy in inflation-targeting (IT) emerging market economies. The paper uses a particularly simple and flexible general equilibrium model structure that can be amended to account for various phenomena that often complicate policy analysis in emerging markets, such as persistent trends in relative prices. The model's calibration is intuitive and can draw on the vast experience many countries have with calibrating small 'gap' models of monetary policy transmission. Moreover, the definition of the model's steady state in terms of nominal expenditure ratios, rather than levels of real variables, allows for the easy use of the model in a regular forecast production cycle in an IT central bank. The paper tests the model's properties on recent Turkish data, demonstrating that the main stylized features relevant for monetary policy making are well captured by the model.
Forecasting The Rate Of Inflation By Means Of The Consumer Price Index
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Author : Antoni Espasa
language : en
Publisher:
Release Date : 1984
Forecasting The Rate Of Inflation By Means Of The Consumer Price Index written by Antoni Espasa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Consumer price indexes categories.
Conference paper on the use of the consumer price index for the projection of inflation rates in Spain - sets up econometric models to forecast food, industrial products, energy and service prices, and to subsequently estimate the rate of inflation. Graphs, statistical tables. Conference held in London 1984.
A Growth Model Of Inflation Tax Evasion And Financial Repression
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Author : Nouriel Roubini
language : en
Publisher:
Release Date : 1992
A Growth Model Of Inflation Tax Evasion And Financial Repression written by Nouriel Roubini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Economic development categories.
In this paper we study the effects of policies of financial repression on long term growth and try to explain why optimizing governments might want to repress the financial sector. We also explain why inflation may be negatively related to growth, even though it does not affect growth directly. We argue that the main reason why governments repress the financial sector is that this sector is the source of "easy" resources for the public budget The source of revenue stemming from this intervention is modeled through the inflation tax. Our model has the implication that financial development reduces money demand. Hence, if the government allows for financial development the inflation tax base, and the chance to collect seigniorage, is reduced. To the extent that the financial sector increases the efficiency of the allocation of savings to productive investment, the choice of the degree of financial development will have real effects on the saving and investment rate and on the growth rate of the economy. We show that in countries where tax evasion is large the government will optimally choose to repress the financial sector in order to increase seigniorage taxation. This policy will then reduce the efficiency of the financial sector, increase the costs of intermediation, reduce the amount of investment and reduce the steady state rate of growth of the economy. Financial repression will therefore be associated with high tax evasion, low growth and high inflation.
Time Varying Parameter Models For Inflation And Exchange Rates
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Author : Charles Steven Bos
language : en
Publisher:
Release Date : 2001
Time Varying Parameter Models For Inflation And Exchange Rates written by Charles Steven Bos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.