scholarly journals Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden

2006 ◽  
pp. 1.000-51.000 ◽  
Author(s):  
Refet S. Gürkaynak ◽  
◽  
Andrew T. Levin ◽  
Eric T. Swanson ◽  
◽  
...  
Keyword(s):  
Inflation Targeting ◽  
Inflation Expectations ◽  
Bond Yields ◽  
Long Run ◽  
The U.S

Infrastructure mortgage in Russia: Opportunities and prospects

2019 ◽  
pp. 114-133
Author(s):  
G. I. Idrisov ◽  
Y. Yu. Ponomarev
Keyword(s):  
Federal Government ◽  
Public Debt ◽  
Budget Deficit ◽  
Expert Assessment ◽  
Inflation Expectations ◽  
Direct Impact ◽  
Long Run ◽  
Gdp Growth Rate ◽  
Negative Effect

The article shows that depending on the goals pursued by the federal government and the available interbudgetary tools a different design of infrastructure mortgage is preferable. Three variants of such mortgage in Russia are proposed, each of which is better suited for certain types of projects and uses different forms of subsidies. According to our expert assessment the active use of infrastructure mortgage in Russia can increase the average annual GDP growth rate by 0.5 p. p. on the horizon of 5—7 years. In the long run the growth of infrastructure financing through the use of infrastructure mortgage could increase long-term economic growth by 0.9 p. p., which in 20—30 years can add 20—30% of GDP to the economy. However, the change in the structure of budget expenditures in the absence of an increase in the budget deficit and public debt will cause no direct impact on monetary policy. The increase in the deficit and the build-up of public debt will have a negative effect on inflation expectations, which will require monetary tightening for a longer time to stabilize them.

scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

scholarly journals Development of Inflation Expectations in Serbia and a Comparative Analysis

2020 ◽  
Vol 9 (1) ◽  
pp. 61-79
Author(s):  
Vesna Martin
Keyword(s):  
Comparative Analysis ◽  
Trade Unions ◽  
Inflation Targeting ◽  
Inflation Expectations ◽  
Economic Agents ◽  
Inflation Expectation ◽  
Floating Exchange Rate ◽  
National Bank ◽  
Targeting Strategy

AbstractInflation expectations are very important when it comes to monetary policy and its decisions. In countries which are applying inflation targeting, inflation expectations reflect prediction of economic agents of movement of inflation rate in mid and long term. Anchored inflation expectations and their movements within target tolerance band are pointing to effectiveness of the inflation targeting strategy. Consistent with the best international practice, after introducing the inflation targeting regime in January 2009, the National Bank of Serbia began monitoring and analysing inflation expectations of economic agents (financial sector, corporate sector, trade unions, and households). The aim of this paper is to analyse inflation expectations in Serbia, but also to give a comparative analysis of inflation expectation of other countries which are using inflation targeting and floating exchange rate, as is the case of the National Bank of Serbia.

scholarly journals Long-run inflation expectations in the ECB survey of professional forecasters: what do the survey responses tell us?

Equilibrium ◽  
2020 ◽  
Vol 15 (4) ◽  
pp. 675-695
Author(s):  
Sami Oinonen ◽  
Matti Viren
Keyword(s):  
Value Added ◽  
Point Of View ◽  
Inflation Expectations ◽  
Survey Of Professional Forecasters ◽  
Long Run ◽  
Relevant Variables ◽  
Policy Credibility ◽  
Survey Responses ◽  
Real Returns

Research background: At the background, there are issues related to policy credibility and policy targets. For these issues, long-term forecasts can provide important information. Of course, long-term forecasts are needed also e.g. for evaluation of real returns. Purpose of the article: This paper tries to find out how informative the ECB Survey of Professional Forecasters data on long-term inflation prospects are from the point of view of the overall quality of the survey and on the other hand from the point of view of monetary policy credibility. Methods: The analysis makes use of individual forecaster level quarterly panel data for the period 1999Q1?2018Q4. Conventional panel econometrics tools are used to find out whether forecasts are sensitive to changes in actual inflation and other relevant variables. Findings & Value added: We find some weaknesses considering the size of the survey, the selection of the sample (more precisely the participation to the survey) and the inertial responses of forecasters which suggest that the survey values are not actively updated. Moreover, we find that towards the end of the sample period, the survey values are related to actual inflation and to short-term expectations, which is not consistent with the credibility of the official inflation target. 

DETERMINANTS OF INFLATION IN INDIA IN A DYNAMIC SETUP

2021 ◽  
pp. 1-20
Author(s):  
MASUDUL HASAN ADIL ◽  
MOHAMMAD AZEEM KHAN ◽  
HAROON RASOOL
Keyword(s):  
Open Economy ◽  
High Frequency ◽  
Inflation Targeting ◽  
Explanatory Variable ◽  
Household Survey ◽  
Inflation Expectations ◽  
Bounds Testing ◽  
Inflation Expectation ◽  
Long Run ◽  
Bounds Testing Approach

The present study empirically examines the factors accounting for inflation in India in an open economy framework by utilizing the bounds testing approach to cointegration for the 2006: Q3-2019: Q4 period. The findings reveal the existence of a long-run relationship with the household survey-based inflation expectation, real output, narrow money aggregate and interest rate as important determinants of inflation. The study concludes that inflation is well explained by a combination of structural and monetary factors. Notably, the significance of inflation expectation as an important explanatory variable corroborates the utilization of inflation forecast by the RBI as an intermediate target in the flexible inflation targeting framework. In this backdrop, it is imperative for RBI to conduct a high frequency inflation expectations survey of households to account for frequent information updation on the part of certain groups of households.

Welfare Consequences of the Six-Year Presidential Term Evaluated in the Context of a Model of the U.S. Economy

1983 ◽  
Vol 77 (1) ◽  
pp. 75-91 ◽  
Author(s):  
Henry W. Chappell ◽  
William R. Keech
Keyword(s):  
Government Spending ◽  
Policy Instruments ◽  
Public Welfare ◽  
Simulation Experiments ◽  
Trade Off ◽  
Long Run ◽  
Short Run ◽  
Short And Long Term ◽  
The U.S

We evaluate the six-year presidential term proposal in the context of a model of the U.S. economy characterized by a short-run but not a long-run trade-off between inflation and unemployment. Votes and public welfare are separately conceptualized as functions of inflation and unemployment, which are indirectly controlled by the president through manipulation of government spending.In a series of simulation experiments, the vote-maximizing choice of policy instruments led to less we(fare loss with six- than with four-year terms under most conditions. Ironically, vote maximizing was shown to lead not only to short- and long-term welfare loss, but also to long-run political disadvantage.

scholarly journals Ambiguity, Nominal Bond Yields, and Real Bond Yields

2020 ◽  
Vol 2 (2) ◽  
pp. 177-192 ◽  
Author(s):  
Guihai Zhao
Keyword(s):  
Risk Premium ◽  
Bond Yields ◽  
Case Scenario ◽  
Worst Case ◽  
Inflation Risk ◽  
Expectations Hypothesis ◽  
Long Run ◽  
Short Run ◽  
The Difference

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity-averse agent faces different amounts of Knightian uncertainty in the long run versus the short run; hence, the model-implied nominal and real short rate expectations are upward sloping under the agent’s worst-case equilibrium beliefs. The expectations hypothesis roughly holds under investors’ worst-case beliefs. The difference between the worst-case scenario and the true distribution makes realized excess returns on long-term bonds predictable. (JEL D81, D84, E23, E31, E43, E44, G12)

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