학술논문
Rational Expectations, Long-run Taylor Rule, and Forecasting Inflation
이용수 3
- 영문명
- 발행기관
- 서울대학교 경제연구소
- 저자명
- Byeongseon Seo Sokwon Kim
- 간행물 정보
- 『Seoul Journal of Economics』Seoul Journal of Economics Volume 20 No.2, 239~262쪽, 전체 23쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2007.06.30
5,560원
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국문 초록
영문 초록
The rational expectations model implies that nominal interest rates reflect expectations of inflation, and thus the term structure of interest rates provides information on the future change in inflation. However, the monetary authority manipulates the short-term interest rate in response to the change in the price level, and accordingly the prediction of inflation cannot be separated from the monetary policy. This paper explores the linkage between the monetary policy rules and the prediction of inflation. The prediction of inflation can be influenced by the monetary policy rules if the Fed reacts strongly to inflation. Using the long-run Taylor rule, an assessment of the prediction performance regarding future change in inflation is provided. The empirical results indicate that the long-run Taylor rule improves forecasting accuracy.
목차
Abstract
Ⅰ. Introduction
Ⅱ. Theoretical Framework
Ⅲ. Econometric Methods
Ⅳ. Main Results
Ⅴ. Concluding Remarks
References
해당간행물 수록 논문
- Rational Expectations, Long-run Taylor Rule, and Forecasting Inflation
- Poisson Jumps and Long Memory Volatility Process in High Frequency European Exchange Rates
- On the Coincidence of the Shapley Value and the Nucleolus in Queueing Problems
- Indonesia's Economic Performance under Soeharto's New Order
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