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Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates?

Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates? »

Source: Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates?

Volume/Issue: 1997/131

Series: IMF Working Papers

Author(s): M. Bleaney

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1997

ISBN: 9781451855241

Keywords: interest rates, real interest rates, long-term interest rates, inflation rate, monetary economics

It has recently been suggested that allowing for switches between different inflationary regimes produces a much better fit for the Fisher relationship between interest rates and inflation, at least for U.S. data....

Correlations Between Real Interest Rates and Output in a Dynamic International Model

Correlations Between Real Interest Rates and Output in a Dynamic International Model »

Source: Correlations Between Real Interest Rates and Output in a Dynamic International Model : Evidence from G-7 Countries

Volume/Issue: 1998/179

Series: IMF Working Papers

Author(s): Jahanara Zaman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1998

ISBN: 9781451859003

Keywords: Adjustment costs, Habit persistence, Interest rates, correlations, real interest rates, correlation, real interest rate, predictions

This paper examines the extent to which a dynamic international general equilibrium model can account for observed movements in real interest rates and interest rate differentials. Using data for Group of Seven, th...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Source: Data-Rich DSGE and Dynamic Factor Models

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

Explicit and Implicit Targets in Open Economies

Explicit and Implicit Targets in Open Economies »

Source: Explicit and Implicit Targets in Open Economies

Volume/Issue: 2005/176

Series: IMF Working Papers

Author(s): Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

ISBN: 9781451861952

Keywords: Inflation targeting, interest rate rules, exchange rates, inflation, central bank, inflation targeting regime, Money and Interest Rates: General,

Under a flexible inflation targeting regime, should policymakers avoid any reaction to movements in the foreign exchange market? Using data for six advanced open economies explicitly targeting inflation, the paper...

The Greenbook and U.S. Monetary Policy

The Greenbook and U.S. Monetary Policy »

Source: The Greenbook and U.S. Monetary Policy

Volume/Issue: 2004/213

Series: IMF Working Papers

Author(s): Robert Tchaidze

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874976

Keywords: Taylor rule, real-time data, inflation, real interest rate, inflation target, inflation response,

Although very attractive both theoretically and empirically, Taylor rules imply mechanical responses by the policy variable (interest rate) to fundamental ones (inflation and output gap). This study looks for empir...

Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates?

Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates? »

Volume/Issue: 1997/131

Series: IMF Working Papers

Author(s): M. Bleaney

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1997

DOI: http://dx.doi.org/10.5089/9781451855241.001

ISBN: 9781451855241

Keywords: interest rates, real interest rates, long-term interest rates, inflation rate, monetary economics

It has recently been suggested that allowing for switches between different inflationary regimes produces a much better fit for the Fisher relationship between interest rates and inflation, at least for U.S. data....

Correlations Between Real Interest Rates and Output in a Dynamic International Model
			: Evidence from G-7 Countries

Correlations Between Real Interest Rates and Output in a Dynamic International Model : Evidence from G-7 Countries »

Volume/Issue: 1998/179

Series: IMF Working Papers

Author(s): Jahanara Zaman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1998

DOI: http://dx.doi.org/10.5089/9781451859003.001

ISBN: 9781451859003

Keywords: Adjustment costs, Habit persistence, Interest rates, correlations, real interest rates, correlation, real interest rate, predictions

This paper examines the extent to which a dynamic international general equilibrium model can account for observed movements in real interest rates and interest rate differentials. Using data for Group of Seven, th...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

DOI: http://dx.doi.org/10.5089/9781463903497.001

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

Explicit and Implicit Targets in Open Economies

Explicit and Implicit Targets in Open Economies »

Volume/Issue: 2005/176

Series: IMF Working Papers

Author(s): Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

DOI: http://dx.doi.org/10.5089/9781451861952.001

ISBN: 9781451861952

Keywords: Inflation targeting, interest rate rules, exchange rates, inflation, central bank, inflation targeting regime, Money and Interest Rates: General,

Under a flexible inflation targeting regime, should policymakers avoid any reaction to movements in the foreign exchange market? Using data for six advanced open economies explicitly targeting inflation, the paper...

Inflation and Public Debt Reversals in the G7 Countries

Inflation and Public Debt Reversals in the G7 Countries »

Volume/Issue: 2014/96

Series: IMF Working Papers

Author(s): Bernardin Akitoby , Takuji Komatsuzaki , and Ariel Binder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 June 2014

DOI: http://dx.doi.org/10.5089/9781498369954.001

ISBN: 9781498369954

Keywords: debt drisis, G7, soverign debt, average inflation, nominal interest rates, real interest rates, increase in inflation, International Lending and Debt Problems,

This paper investigates the impact of low or high inflation on the public debt-to-GDP ratio in the G-7 countries. Our simulations suggest that if inflation were to fall to zero for five years, the average net debt-...