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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2007.1
- 수록면
- 239 - 262 (24page)
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The rational expectations model implies that nominal interest rates reflect expectations of inflation, and thus the term structure of interest rates provides information on the future change in inflation. However, the monetary authority manipulates the short-term interest rate in response to the change in the price level, and accordingly the prediction of inflation cannot be separated from the monetary policy. This paper explores the linkage between the monetary policy rules and the prediction of inflation. The prediction of inflation can be influenced by the monetary policy rules if the Fed reacts strongly to inflation. Using the long-run Taylor rule, an assessment of the prediction performance regarding future change in inflation is provided. The empirical results indicate that the long-run Taylor rule improves forecasting accuracy.
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참고문헌 (21)
참고문헌 신청
Andrews / / “Tests for Parameter Instability and Structural Change with Unknown Change Point ” eco (metrica 61) : 4 821 ~ 1993 56
Atkeson, A / Winter2001 / Are Phillips Curves Useful for Forecasting Inflation? 25 : 2 ~ 11
Balduzzi, P / 1997 / A Model of Target Changes and the Term Structure of Interest Rates 39 (2) : 223 ~ 249
Clarida, R / 2000 / Monetary Policy Rules and Macroeconomic Stability: Evidence and Some 115 (1) : 147 ~ 180
Estrella / / “The Term Structure as a Predictor of Real Economic Activity ” Journal of Finance 46 : 2 555 ~ 1991 76
Atkeson, A / Winter2001 / Are Phillips Curves Useful for Forecasting Inflation? 25 : 2 ~ 11
Balduzzi, P / 1997 / A Model of Target Changes and the Term Structure of Interest Rates 39 (2) : 223 ~ 249
Clarida, R / 2000 / Monetary Policy Rules and Macroeconomic Stability: Evidence and Some 115 (1) : 147 ~ 180
Estrella / / “The Term Structure as a Predictor of Real Economic Activity ” Journal of Finance 46 : 2 555 ~ 1991 76
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