We investigate the effectiveness of an aggressive anti-inflation monetary policy on the ability of agents to achieve rational expectations equilibrium (REE) forecasts of inflation. An aggressive anti-inflation policy includes a willingness to respond more forcefully to deviations from an...

This paper investigates the effect of an aggressive price stabilizing monetary policy on the ability of agents to reach a rational expectations equilibrium (REE) for inflation and output. We provide a more robust policy implication than the one suggested by Bullard and Mitra (2002a,b). Using an...

This paper uses the impulse response from an estimated structural autoregressive model of the inflation process to estimate the dynamic exchange rate pass-through to consumer prices for Nigeria, using quarterly data for the period 1986-2010. The results suggest that the exchange rate...

We construct an equilibrium term structure model that is robust to economic agent's uncertainty about the true data generating process. The low-dimensional two-factor long-run risk model captures the intuition that an ambiguity averse agent behaves pessimistically by attaching more weight to the...

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

The last decade has witnessed two groundbreaking developments in monetary economics: The growth in digital private currencies and negative interest rate policies (NIRP), leaving the zero lower bound no longer binding. These developments have introduced two parallel discussions surrounding the...

Observed inflation targets around the industrial world are concentrated at two percent per year. This chapter investigates the extent to which the observed magnitudes of inflation targets are consistent with the optimal rate of inflation predicted by leading theories of monetary non-neutrality....

We use Japanese prefectural-level data to analyze the relationship between borrowing patterns and house price dynamics under the recourse-loan system. Our principal finding is that in prefectures where highly leveraged homeowners are common– i.e. have high, extended loan-to-value ratios- house...

The calculation of forward rates implied in Treasury spot rates is well known. A simple extension that uses yields on TIPS and similar-maturity conventional Treasury securities to estimate changes in the market's expectation of inflation is less well known. One interesting opportunity to apply...

Recent work with Factor-Augmented Vector Autoregression (FAVAR) suggests that standard VAR analysis can be improved by incorporating the information in a large number of macroeconomic time series. I examine what new information FAVAR factors contribute. Using a sparse modification to principal...