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The Subjective Inflation Expectations of Households and Firms: Measurement, Determinants, and Implications

Weber, Michael; D’Acunto, Francesco; Gorodnichenko, Yuriy - 2022

Households' and firms' subjective inflation expectations play a central role in macroeconomic and intertemporal microeconomic models. We discuss how subjective inflation expectations are measured, the patterns they display, their determinants, and how they shape households' and firms' economic...

Persistent link: https://www.econbiz.de/10013351930

Trend growth and learning about monetary policy rules

Tesfaselassie, Mewael F. - 2011

The paper examines the effect of trend productivity growth on the determinacy and learnability of equilibria under alternative monetary policy rules. It shows that under a policy rule that responds to current period inflation and the output gap a higher trend growth rate relaxes the conditions...

Persistent link: https://www.econbiz.de/10010279379

Modeling bond yields in finance and macroeconomics

Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10010298296

The response of term rates to monetary policy uncertainty

Jordá, Oscar; Salyer, Kevin D. - 2001

This paper shows that greater uncertainty about monetary policy can lead to a decline in nominal interest rates. In the … context of a limited participation model, monetary policy uncertainty is modeled as a mean-preserving spread in the … distribution for the money growth process. This increase in uncertainty lowers the yield on short-term maturity bonds because the …

Persistent link: https://www.econbiz.de/10010318595

The announcement effect: Evidence from open market desk data

Jordà, Òscar; Demiralp, Selva; Liu, Holly; Williams, … - 2001

This paper investigates the ability of the Federal Reserve to manipulate the overnight rate without open market operations (which Demiralp and Jorda (2000) term the announcement effect), using high-frequency, open-market-desk data. Using similar data, Hamilton (1997) takes advantage of forecast...

Persistent link: https://www.econbiz.de/10010318605

Net debt supply shocks in the euro area and the implications for QE

Blattner, Tobias; Joyce, Michael A. S. - 2016

This paper examines how shocks to the net supply of government bonds affect the euro area term structure of interest rates and the wider macroeconomy. To measure net debt supply we construct a new free-float measure, which adjusts total government debt of the four largest euro area economies for...

Persistent link: https://www.econbiz.de/10011606002

Bond positions, expectations, and the yield curve

Piazzesi, Monika; Schneider, Martin - 2008

This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...

Persistent link: https://www.econbiz.de/10010292351

Yield curve modelling and a conceptual framework for estimating yield curves: Evidence from the European Central Bank's yield curves

Nymand-Andersen, Per - 2018

The European Central Bank (ECB), as part of its forward-looking strategy, needs high-quality financial market statistical indicators as a means to facilitate evidence-based and sound decision-making. Such indicators include timely market intelligence and information to gauge investors'...

Persistent link: https://www.econbiz.de/10011985258

The Pavlovian Response of Term Rates to Fed Announcements

Jorda, Oscar; Demiralp, Selva - 1999

The traditional view of the monetary transmission mechanism rests on the premise that the Federal Reserve (Fed) controls the level of the Federal funds rate via open market operations and the liquidity effect. By contrast, this paper argues that the Fed also manipulates the Federal funds rate...

Persistent link: https://www.econbiz.de/10011940975

Inflation as Redistribution. Creditors, Workers, Policymakers

Bichler, Shimshon; Nitzan, Jonathan - 2023

This paper is part of a dialogue with Blair Fix on how inflation redistributes income between creditors and workers and the way in which monetary policy affects this process. In his 2023 paper, ‘Inflation! The Battle Between Creditors and Workers’, Fix shows, first, that the impact of U.S....

Persistent link: https://www.econbiz.de/10014001208