In this paper, we use high frequency daily data to examine the dynamic relationship between the federal funds futures rate and the 3-month T-bill rate. Our results show that one month federal funds futures rate is cointegrated with the 3-month T-bill rate, and thus move together in the long-run....

Using state-space modeling, we extract information from surveys of long-term inflation expectations and multiple quarterly inflation series to undertake a real-time decomposition of quarterly headline PCE and GDP-deflator inflation rates into a common long-term trend, common cyclical component,...

We consider which factors determined the price-rent ratio for the housing market in 18 U.S. metropolitan areas (MSAs) and at the national level over the period of 1975 to 2012. Based on a present-value framework, our proposed empirical model separates the price-rent ratio for a given market into...

In this paper we estimate the evolution of the implicit inflation target underlying the monetary policy of 18 ‘inflation targeting lite’ economies (i.e., emerging countries that target inflation implicitly) using a time‐varying parameter specification of the Taylor rule. We find...