Learning About The Term Structure And Optimal Rules For Inflation Targeting
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Learning About The Term Structure And Optimal Rules For Inflation Targeting
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Author : Mewael F. Tesfaselassie
language : en
Publisher:
Release Date : 2006
Learning About The Term Structure And Optimal Rules For Inflation Targeting written by Mewael F. Tesfaselassie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Learning About The Term Structure And Optimal Rules For Inflation Targeting
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Author : Sylvester C. W. Eijffinger
language : en
Publisher:
Release Date : 2013
Learning About The Term Structure And Optimal Rules For Inflation Targeting written by Sylvester C. W. Eijffinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework. We find that under flexible inflation targeting and uncertainty in the degree of persistence in the economy, allowing for active learning possibilities has effects on the optimal interest rate rule followed by the central bank. For a wide range of possible initial beliefs about the unknown parameter, the dynamically optimal rule is in general more activist, in the sense of responding aggressively to the state of the economy, than the myopic rule for small to moderate deviations of the state variable from its target. On the other hand, for large deviations, the optimal policy is less activist than the myopic and the certainty equivalence policies.
Heterogeneous Information About The Term Structure Of Interest Rates Least Squares Learning And Optimal Interest Rate Rules For Inflation Targeting
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Author : Eric Schaling
language : en
Publisher:
Release Date : 2007
Heterogeneous Information About The Term Structure Of Interest Rates Least Squares Learning And Optimal Interest Rate Rules For Inflation Targeting written by Eric Schaling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
In this paper, we incorporate the term structure of interest rates in a standard inflation forecast targeting framework. Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e., the central bank and private agents - who have different information sets about the future sequence of short-term interest rates. We analyse inflation forecast targeting in two environments. One in which the central bank has perfect knowledge, in the sense that it understands and observes the process by which private sector interest rate expectations are generated, and one in which the central bank has imperfect knowledge and has to learn the private sector forecasting rule for short-term interest rates. In the case of imperfect knowledge, the central bank has to learn about private sector interest rate expectations, as the latter affect the impact of monetary policy through the expectations theory of the term structure of interest rates. Here, following Evans and Honkapohja (2001), the learning scheme we investigate is that of least-squares learning (recursive OLS) using the Kalman filter. We find that optimal monetary policy under learning is a policy that separates estimation and control. Therefore, this model suggests that the practical relevance of the breakdown of the separation principle and the need for experimentation in policy may be limited.
Heterogenous Information About The Term Structure Least Squares Learning And Optimal Rules For Inflation Targeting
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Author : Eric Schaling
language : en
Publisher:
Release Date : 2004
Heterogenous Information About The Term Structure Least Squares Learning And Optimal Rules For Inflation Targeting written by Eric Schaling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Heterogeneous Information About The Term Structure Least Squares Learning And Optimal Rules For Inflation Targeting
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Author : Eric Schaling
language : en
Publisher:
Release Date : 2004
Heterogeneous Information About The Term Structure Least Squares Learning And Optimal Rules For Inflation Targeting written by Eric Schaling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Heterogeneous Information About The Term Structure Of Interest Rates Least Squares Learning And Optimal Interest Rate Rules For Inflation Forecast Targeting
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Author : Eric Schaling
language : en
Publisher:
Release Date : 2004
Heterogeneous Information About The Term Structure Of Interest Rates Least Squares Learning And Optimal Interest Rate Rules For Inflation Forecast Targeting written by Eric Schaling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The Term Structure Of Interest Rates And Inflation Forecast Targeting
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Author : Sylvester C. W. Eijffinger
language : en
Publisher:
Release Date : 2000
The Term Structure Of Interest Rates And Inflation Forecast Targeting written by Sylvester C. W. Eijffinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Anti-inflationary policies categories.
The Inflation Targeting Debate
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Author : Ben S. Bernanke
language : en
Publisher: University of Chicago Press
Release Date : 2007-11-01
The Inflation Targeting Debate written by Ben S. Bernanke and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-01 with Business & Economics categories.
Over the past fifteen years, a significant number of industrialized and middle-income countries have adopted inflation targeting as a framework for monetary policymaking. As the name suggests, in such inflation-targeting regimes, the central bank is responsible for achieving a publicly announced target for the inflation rate. While the objective of controlling inflation enjoys wide support among both academic experts and policymakers, and while the countries that have followed this model have generally experienced good macroeconomic outcomes, many important questions about inflation targeting remain. In Inflation Targeting, a distinguished group of contributors explores the many underexamined dimensions of inflation targeting—its potential, its successes, and its limitations—from both a theoretical and an empirical standpoint, and for both developed and emerging economies. The volume opens with a discussion of the optimal formulation of inflation-targeting policy and continues with a debate about the desirability of such a model for the United States. The concluding chapters discuss the special problems of inflation targeting in emerging markets, including the Czech Republic, Poland, and Hungary.
Monetary Policy Interest Rate Rules And The Term Structure Of Interest Rates
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Author : Ralf Fendel
language : en
Publisher: Peter Lang Publishing
Release Date : 2007
Monetary Policy Interest Rate Rules And The Term Structure Of Interest Rates written by Ralf Fendel and has been published by Peter Lang Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
Inflation Targeting Under Imperfect Knowledge
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Author : Athanasios Orphanides
language : en
Publisher:
Release Date : 2006
Inflation Targeting Under Imperfect Knowledge written by Athanasios Orphanides and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Anti-inflationary policies categories.