ERN: Inflation & Deflation (Topic)最新文献

{"title":"Natural Rate in a Shadow Rate Term Structure Model","authors":"Yangjue Han, Jun Ma","doi":"10.2139/ssrn.3902614","DOIUrl":"https://doi.org/10.2139/ssrn.3902614","url":null,"abstract":"We propose a shadow rate no-arbitrage DTSM with drifting trends to estimate the natural rate of interest. With the shadow rate reflecting overall financial market condition (Wu and Zhang (2019)), its long run forecast (in real term), defined as our natural rate, provides a useful measure against which monetary policy stance may be assessed. We apply our model to treasury yields data in the United States, the United Kingdom, and Germany for the sample from November 1972 to December 2019. We find that all three natural rates have been declining since as early as the 1990s and have all turn negative in the most recent few years. Furthermore, there is a strong co-movement among the three natural rates indicating that global factors contribute significantly to the natural rate declining dynamics, corroborating findings in Holston et al. (2017). The term premium estimates from our model are quite stationary and are significantly and positively correlated with several inflation uncertainty measures, consistent with Wright (2011).","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128617141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Over-Fitting in The TVP Model: A Comparison of Shrinkage Priors in Inflation Forecasting","authors":"Nafiu Abdussalam Bashir, N. Usman","doi":"10.2139/ssrn.3857819","DOIUrl":"https://doi.org/10.2139/ssrn.3857819","url":null,"abstract":"The study is empirically motivated to analyze the performance of new class of Bayesian shrinkage priors that are powerful in reducing time-varying parameters to static ones to avoid over-fitting problem in time-varying parameter models. We utilized newly improved shrinkage priors in a non-centered parameterization form following Bitto and Frühwirth-Schnatter (2019) who introduced variance selection using normal-gamma prior which nests the Bayesian LASSO prior of Belmonte et al. (2014) and spike and slab prior as in Schnatter and Wagner (2010). Therefore, the priors are able to discriminate time-varying coefficients from the static ones and the coefficients that can be shrunk to zero. In the empirical exercise, we estimated the generalized Phillip curve for three inflation-targeting countries and produced evidence of significant time-variation in most of the predictors. We compare the performance of the priors in density forecast of inflation allowing for constant and stochastic volatility in the model estimation. Evidence from the estimates of the log predictive density score shows that the hierarchical Normal Gamma shrinkage prior produces the best results for Canada and South Africa whilst the Normal Bayesian LASSO produces the best results for New Zealand, and that adding stochastic volatility improves the performance of models in density forecast.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125728999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Role of Information and Experience for Households’ Inflation Expectations","authors":"Christian Conrad, Zeno Enders, A. Glas","doi":"10.18452/21833","DOIUrl":"https://doi.org/10.18452/21833","url":null,"abstract":"Based on a new survey of German households, we investigate the role of information channels and lifetime experience for households’ inflation expectations. We show that the types of information channels that households use to inform themselves about monetary policy are closely related to their socio-economic characteristics. These information channels, in turn, have an important influence on the level of perceived past and expected future inflation, as well as uncertainty thereof. The expected future change of inflation and the unemployment rate, however, is strongly influenced by individual experience of these variables. Similarly, the expected response of inflation to a change in the interest rate is also shaped by experience. We propose the interpretation that households obtain inflation numbers from the media, but their ‘economic model’ is shaped by experience.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114068528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Oil Price and Exchange Rate Volatilities: Implications on the Cost of Living in an OPEC Member Country—Nigeria","authors":"C. Okolo, S. Udabah","doi":"10.1111/opec.12157","DOIUrl":"https://doi.org/10.1111/opec.12157","url":null,"abstract":"As the large exporter of crude oil, Nigeria heavily depends on oil earnings to fund economic activities. The country also rely heavily on imports of consumables, both oil and non oil consumables. Nigerias vulnerability to crude oil price shock at the international oil market exposes the nation to certain negative shocks. The study investigated the dynamics of crude oil price and exchange rate volatilities and its implication on the cost of living in Nigeria. Structural Generalized Autoregressive Conditional Heteroscedasticity (S-GARCH) was employed to measure the influence of crude oil price volatility on the exchange rate fluctuation as well as their influence on the consumer price index. Oil price and exchange rate volatilities did not significantly pass-through to the consumer price index in Nigeria. However, information on previous volatilities proved a significant determinant of current volatilities. The media should be significantly utilized as a strategic tool to better predict and manage oil price and exchange rate volatilities in Nigeria. Government should further reconsider allowing the importation of certain consumable goods which are also produced in Nigeria, while boosting domestic production and export.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124212155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Low Inflation Bends the Phillips Curve","authors":"Joseph E. Gagnon, C. Collins","doi":"10.2139/ssrn.3363928","DOIUrl":"https://doi.org/10.2139/ssrn.3363928","url":null,"abstract":"The Phillips curve, which traces out a negative relationship between inflation and unemployment, has undergone tremendous changes over more than 100 years. Some researchers argue that the slope of the curve in the United States fell substantially around 20 years ago so that unemployment now has little or no effect on inflation. This paper shows that another hypothesis is equally consistent with the data: The Phillips curve may be nonlinear when inflation is low, with the economy having operated in the flat region of the curve for most of the past 20 years. The next few years may be decisive in the debate between these hypotheses, as unemployment has returned to a range in which a nonlinear curve ought to display significant steepness. A flat Phillips curve implies little change in inflation going forward, but a nonlinear curve implies moderate increases in inflation over the next few years.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133148601","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Sensitivity of Equity Returns to Inflation and Inflation Uncertainty: A Cross-country Evidence","authors":"Javed Bin Kamal","doi":"10.2139/ssrn.3302981","DOIUrl":"https://doi.org/10.2139/ssrn.3302981","url":null,"abstract":"This paper investigates the effect of inflation and inflation uncertainty on equity returns for the data of 41 countries. A GARCH based measure of volatility is used to model inflation uncertainty. The empirical results shows that the effects are not statistically significant in most of the cases, which implies equity investors are not sensitive to inflation and inflation uncertainty. Consistent to existing findings, equity is not a hedge against inflation (and inflation uncertainty) in developed countries; further, emerging and frontier countries are not exception. Inflation uncertainty exerts a negative influence in equity returns. The results are robust to alternative measurements. These results have important implications for asset manager’s diversification purpose and monetary policymaking.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128150449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of Deflation on Fiscal Aggregates","authors":"Adina Trandafir, Octav Neguriță, C. Guni","doi":"10.26458/1836","DOIUrl":"https://doi.org/10.26458/1836","url":null,"abstract":"This article addresses the phenomenon of deflation from a historical perspective, a phenomenon rarely encountered in our day. Deflation is generally defined as the fall in the aggregate level of the consumer price index, respectively, the reverse inflationary phenomenon. The article also presents, in addition to experiences in different countries in times when deflation has been more pronounced and longer, and the effects it may have on public finance aggregates. The paper analyses the literature of all time that deals with the subject, as well as a presentation of the empirical data recorded, and an econometric analysis wishing to highlight the impact that the aggregate index of prices may have on public debt, using data recorded in Romania during 2000-2017.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116247188","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Extraction of Inflation Expectations from Financial Instruments in Latin America","authors":"A. Fuertes, R. Gimeno, J. Marqués","doi":"10.2139/ssrn.3207225","DOIUrl":"https://doi.org/10.2139/ssrn.3207225","url":null,"abstract":"In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures such as breakeven rates. Our method provides several advantages, as we can compute inflation expectations at any horizon and forward rates such as the expected inflation over the five year period that begins five years from today. We find that inflation expectations in the long-run are fairly anchored in Chile and Mexico, while those in Brazil and Colombia are more volatile and less anchored. We also find that expected inflation increases at longer horizons in Brazil and Chile, while it is decreasing in Colombia and Mexico.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127022360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"In Search of a Long-Run Phillips Curve in the US","authors":"Elliot Goldberg","doi":"10.2139/ssrn.3197176","DOIUrl":"https://doi.org/10.2139/ssrn.3197176","url":null,"abstract":"Although there is academic research confirming a short-run negative correlation between unemployment and inflation, the majority of studies conclude there is no long-run Phillips Curve. Deploying Phillips methodology and applying it to twelve years of US quarterly data, this study concludes there is a very strong negative correlation between unemployment and employment costs.","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121302790","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Theory and Countermeasure of Deflation","authors":"Yiping He, Wei Shi, Xiaoming Gong, Xuezhi Zhang, Hualing Chen, Chun Ou’Yang, Gang Zhao","doi":"10.2139/ssrn.3192916","DOIUrl":"https://doi.org/10.2139/ssrn.3192916","url":null,"abstract":"The underlying reason for deflation is oversupply and deflation can be divided into anticipatory deflation and innovation-deficient inflation. Anticipatory deflation means there is still demand, but the market is expecting the price to decline, so rational consumers will choose hoarding, thus oversupply exists. It often appears in a market of shortage of economy. Innovation-deficient deflation refers to the lack of consumption hot spots given the current level of income. It tends to occur in an excessive market economy. One of the theories of mainstream economics to deal with deflation is the Keynesian theory. This paper argues that the Keynesian theory system has inherent contradictions: Keynes's theory of productivity is that it changes cyclically, and it is expounded from the perspective of production capacity. If the theory is true, deflation is a regular event that is bound to exist in the market economy and this opposes the Keynesian doctrine of the government's driving the market when the market suffers from demand deficit. Keynes's IS-LM model uses interest rate as the only exogenous variables, with GDP, aggregate supply and aggregate demand as endogenous variables for interest rate. If the model is correct, the government or other external factors can not regulate exogenous interest rate and need not regulate other endogenous macroeconomic variables that have been determined by the model, so the IS-LM model is bound to oppose the government's intervention in the market when there is insufficient effective demand. The \"squeeze effect\" especially, derived by the model, stating that government investment will inevitably squeeze out the business investment, poses challenge to the effectiveness of the government’s role to stimulate the economy. The real support for the government to stimulate the effective demand for the market is Keynesianism, which is without any theoretical basis. In fact, when there is market downturn, government’s increasing investment or consumption allow the government spend less money from taxpayers and gain more services. This is in line with government rationality; when the price is going down, to increase government investment and consumption are in line with the law of the invisible hand to regulate market demand through price, thus it is an act to support rather than replace the invisible hand. More importantly, when the market is expecting price to be down, government’s investment or consumption can effectively change the market pessimism, boost market confidence, thus is effective measures to respond to the anticipatory deflationary. When there is innovation-deficient deflation, the market can maintain a certain degree of stability if the government stimulates demand, and time and space can be won by market restructuring and innovation. However, the market will grow dependent on the government to stimulate economic growth, thus the problem of innovation-deficient deflation cannot be fundamentally solved. Anothe","PeriodicalId":235167,"journal":{"name":"ERN: Inflation & Deflation (Topic)","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122889294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}