共查询到6条相似文献，搜索用时 15 毫秒
1.
Anandi P. Sahu 《Journal of Economics and Finance》2008,32(1):91-104
This paper examines the effects of inflation expectations on nominal interest rates, and incentives to save and invest under
partial and complete tax indexation schemes. One would expect that a partially indexed structure would be better than a non-indexed
system. However, this is not the case—it reduces the adverse effects of inflation on the incentives to save, but accentuates
them on the incentives to invest. Moreover, a change from a non-indexed tax structure to a fully-indexed structure will, ceteris
paribus, lead to lower equilibrium interest rates, whereas a switch to a partially indexed system will imply higher rates.
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| Anandi P. SahuEmail: |
2.
《International Journal of Forecasting》2019,35(3):1008-1031
We use a broad-range set of inflation models and pseudo out-of-sample forecasts to assess their predictive ability among 14 emerging market economies (EMEs) at different horizons (1–12 quarters ahead) with quarterly data over the period 1980Q1-2016Q4. We find, in general, that a simple arithmetic average of the current and three previous observations (the RW-AO model) consistently outperforms its standard competitors—based on the root mean squared prediction error (RMSPE) and on the accuracy in predicting the direction of change. These include conventional models based on domestic factors, existing open-economy Phillips curve-based specifications, factor-augmented models, and time-varying parameter models. Often, the RMSPE and directional accuracy gains of the RW-AO model are shown to be statistically significant. Our results are robust to forecast combinations, intercept corrections, alternative transformations of the target variable, different lag structures, and additional tests of (conditional) predictability. We argue that the RW-AO model is successful among EMEs because it is a straightforward method to downweight later data, which is a useful strategy when there are unknown structural breaks and model misspecification. 相似文献
3.
Well-anchored inflation expectations are a key factor for achieving economic stability. This paper provides new empirical results on the anchoring of long-term inflation expectations in the euro area. In line with earlier evidence, we find that euro area inflation expectations have been anchored until fall 2011. Since then, however, they respond significantly to macroeconomic news. Our results obtained from multiple endogenous break point tests suggest that euro area inflation expectations have remained de-anchored ever since. 相似文献
4.
Matthias Neuenkirch 《Economic Systems》2013,37(4):598-609
In this paper, we study how central bank transparency influences the formation of money market expectations in emerging markets. The sample covers 25 countries for the period from January 1998 to December 2009. We find, first, that transparency reduces the bias (the difference between the money market rate and the weighted expected target rate over the contract period) in money market expectations. The effect is larger for countries with no exchange rate peg and countries with low income. Second, an intermediate level of transparency is found to have the most favorable influence on money market expectations: neither complete secrecy nor complete transparency is optimal. Finally, all subcategories of the Eijffinger and Geraats (2006) index lead to a smaller bias in expectations, with political transparency having the largest effect. 相似文献
5.
我国国债利率期限结构研究 总被引：2，自引：0，他引：2
本文简要地阐述了利率期限结构理论,并对国内外的有关利率期限结构的模型进行了评述。在国内的国债利率期限结构模型的基础上,根据现有的数据,分析了我国国债利率期限结构曲线的变动趋势并提出了预测模型。 相似文献
6.
在通胀预期高企、央行频频采取紧缩货币政策来抑制通货膨胀的今天,何种投资能以最小的风险为代价来抵御通胀对资产的侵蚀?在以往国外金融研究的一些分析中认为,国债投资可以抵御预期内的通胀,但这在中国市场是否可行?本文以国债0203作为代表性品种,与同期限定期存款利率进行相关性比较,对当前活跃交易的记账式国债进行横向分析,介入通货膨胀因素来探讨我国国债市场的有效性及国债投资价值,并提出相应的建议。 相似文献