The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment

This paper examines the predictive content of the shadow rates for U.S. real activity and inflation in a data-rich environment. We find that the shadow rates contain substantial out-of-sample predictive power for inflation in non-zero lower bound and zero lower bound periods. In contrast, the shadow rates are uninformative about future real activity.

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Year of publication:	2016-05-18
Authors:	Hännikäinen, Jari

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Hännikäinen, Jari (2016): The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment.
Classification:	C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E58 - Central Banks and Their Policies
Source:	BASE

Persistent link: https://www.econbiz.de/10015251937