Author: Elisabeth WielandPublisher:
ISBN:
Category :
Languages : en
Pages : 234
Book Description
Essays on Inflation Uncertainty and Inflation Expectations
Essays on Inflation Expectations and Uncertainty
Author: Christina StrobachEmpirical Essays on Inflation and Economic Growth
Author: Lezheng LiuPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
This dissertation collects three empirical essays on inflation and economic growth. The first essay examines the impact of inflation uncertainty on the level of inflation. Uncertainty is measured by the conditional variance of inflation, and inflation is modeled as a GARCH-in-mean process with a two-regime Markov-switching coefficient on uncertainty. Using a Bayesian estimator with the Markov Chain Monte Carlo approach, we find that the impacts of uncertainty on inflation are statistically significant and have different signs in different regimes for the U.S. postwar data. The regime switching nature of the inflation process can explain the contradictory theoretical predictions and empirical evidence shown in the existing literature. In the second essay, we develop a time-varying parameter model with survey information to forecast future inflation rates. To capture the inflation dynamics, we first specify quarterly U.S. inflation as an AR(2) process with time-varying unobservable parameters. The model is estimated by the Kalman filter algorithm. We then examine survey data information by combining Survey of Professional Forecasters (SPF) forecasts into the model. Compared to the survey data and the classical ARIMA models, the time-varying parameter models significantly reduce out-of-sample prediction errors. We find that the improvement lies over the time-varying feature of the models and that including survey data does not significantly improve predictive ability, indicating that the survey data do not contain too much information beyond realized inflation rates. The third essay re-examines the convergence hypothesis by revising a four-step procedure of the panel unit root test suggested by Evans and Karras (1996). We use data on output for 24 OECD countries over 40 years. We incorporate the spatial autoregressive error structure into a fixed-effect panel model to account for spatial dependence that may induce significant size distortion of the conventional panel unit root tests. Bootstrap procedures are employed to find related critical values. In contrast to the results obtained from the test that does not consider the spatial error structure, our results indicate that there is no output convergence among the OECD countries.
Essays in Empirical Macroeconomics
Author: Gwangmin KimPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This dissertation is going to empirically study household inflation expectations and inflation. Inflation expectations and inflation play a central role in economic dynamics. For example, when households expect future price increases, households will try to purchase goods now than later at higher prices which is eventually going to push prices even higher. Chapter 1 contributes to the literature on inflation expectations by showing a channel that can significantly bias the central banks' aggregate inflation expectations measures. This chapter is joint work with Carola Binder. We show that when inflation expectations surveys rely on repeat survey participants, survey participation itself may affect future responses. Because the central bank's survey asks about future prices and inflation, it prompts information acquisition between survey waves for survey respondents. These "Learning-through-Survey" effects are particularly large for household inflation expectations. For example, after participating twelve consecutive times in the SCE, respondents end up with a 2.6 percentage point lower inflation forecast and 34% lower inflation uncertainty on average than in the first interview, with most of the decline happening in the first two months of participation. Consequently, repeat participants may be more informed, and not be representative of the broader population of the economy. Chapter 2 estimates three components of household inflation expectations of the SCE using a dynamic factor model: Common, Learning, and Long-run factor. Using the estimated common inflation expectation factor shared by all survey participants, I recover the household inflation expectations less the learning effect of the SCE without discarding repeat survey participants' data which could have been wasteful otherwise. It successfully corrects for the bias due to the learning effects of repeat survey participants and is significantly less noisy than the raw data. In addition, the estimated learning factor and long-run factor of inflation expectations suggest that inflation expectations of households are largely influenced by news coverage on inflation and oil prices. Finally, Chapter 3 studies the product life cycle effects on prices and inflation inequality in the U.S. The annual inflation rate of lower-income households has been higher than that of higher-income households in general, a finding termed in extensive literature as "inflation inequality." Using barcode-level retail sales data and household spending data in the U.S, I show that the product life cycle channel can account for a significant portion of this inflation inequality among households. The prices of new products are initially high but steadily decrease after then as it goes out of fashion. Because rich households tend to be early adopters preferring new goods to old goods, those rich early adopters experience a sharp price decrease or lower inflation than poor late-adopters who buy goods when the price decreasing phase has stopped or got less steep
Essays on Inflation
Author: Thomas M. HumphreyPublisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 340
Book Description
Essays on Inflation Uncertainty and Its Consequences
Author: Tito Nícias Teixeira da Silva FilhoPublisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 656
Book Description
The Preparation of Monetary Policy
Author: J.M. BerkPublisher: Springer Science & Business Media
ISBN: 1475734050
Category : Business & Economics
Languages : en
Pages : 157
Book Description
Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.
Uncertainty about Inflationary Perceptions and Expectations
Author: Lars JonungPublisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 54
Book Description
Essays in Inflation Expectations, Monetary Economics, and Asset Pricing
Author: Alberto Sánchez MartínPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Essays on Optimal Inflation Targeting Forecast Based Rules and Inflation Modelling Under Uncertainty
Author: Mamdouh Abdelmoula Mohamed AbdelsalamPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description