The econometrics of inflationary expectations:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
North-Holland Publ. Co.
1981
|
| Schriftenreihe: | Studies in monetary economics.
7. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 250 S. |
| ISBN: | 0444862080 |
Internformat
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| 245 | 1 | 0 | |a The econometrics of inflationary expectations |
| 264 | 1 | |a Amsterdam |b North-Holland Publ. Co. |c 1981 | |
| 300 | |a XI, 250 S. | ||
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| 490 | 1 | |a Studies in monetary economics. |v 7. | |
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Datensatz im Suchindex
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| adam_text | Titel: The econometrics of inflationary expectations
Autor: Lahiri, Kajal
Jahr: 1981
CONTENTS
Introduction to the series vi
Preface vii
List of Tables xiii
Introduction xv
PART I: INFLATION AR Y EXPECTATIONS IN
MACROECONOMIC MODELS
Chapter 1. Models of expectations and the Phillips curve 3
1.1. Wage Inflation and formation of expectations 5
1.2. Estimation procedure 10
1.3. Empirical results 11
1.4. Summary of results 14
Chapter 2. Simultaneity in wages, prices, and unobservable
price expectations 21
2.1. Structural model 23
2.2. Estimation of the measurement error variance by using
the overidentifying restrictions 26
2.3. A general method of estimation 30
2.4. Empirical results 34
2.5. Tests of error-in-variables 36
2.6. Effects ofWage-Price Controls 39
2.7. Conclusions 42
x Contents
Chapter 3. Rational expectations in macro modeis 51
3.1. Estimation methods with a general covariance structure 54
3.2. Empirical results 57
3.3. Real effects of unanticipated inflation 64
3.4. Tests of the rational expectations hypothesis (REH) and
the implications of different Information availability
assumptions 67
3.5. Further tests of REH using data-based distributed lag
representations 72
3.6. McCallum s model and some limited-information estimates 76
3.7. FIML estimation of the structured model 80
3.8. Further implications of REH in McCallum s model 81
3.9. Conclusions 89
PART II: INFLATIONARY EXPECTATIONS IN
FINANCIAL MARKETS
Chapter 4. Inflationary Expectations: Their formation and
interest rate effects 109
4.1. Interest rates and modeis of expectations 112
4.2. The results 113
4.3. Structural change around 1960 117
4.4. Conclusions 119
Chapter 5. Rational expectations and the Fisher effect 125
5.1. Search for a füll Fisher effect 125
5.2. Maximum likelihood estimates 128
5.3. Three-indicator modeis: systematic errors in measurement 339
5.4. Conclusions 144
Chapter 6. Variability of real interest rates and the efficient
market hypothesis 151
6.1. A structural model of ex-ante real rate 153
6.2. Estimation of covariance between ex-ante real rate and
anticipated Inflation 155
6.3. Rationality of Livingston s survcy data 158
6.4. An estimated real rate series 161
6.5. Conclusions 166
Contents xi
Chapter 7. Concluding Remarks 175
Appendix A: Full-information maximum-hkelihood estimation
in triangulär modeis 185
Appendix B: The maximum likclihood framework for generating
price forecasts from SRC data 197
Appendix C: Sourcesand description of variables 21 1
Footnotes 223
References 229
Index 245
|
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| isbn | 0444862080 |
| language | English |
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| physical | XI, 250 S. |
| publishDate | 1981 |
| publishDateSearch | 1981 |
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| publisher | North-Holland Publ. Co. |
| record_format | marc |
| series | Studies in monetary economics. |
| series2 | Studies in monetary economics. |
| spelling | Lahiri, Kajal Verfasser aut The econometrics of inflationary expectations Amsterdam North-Holland Publ. Co. 1981 XI, 250 S. txt rdacontent n rdamedia nc rdacarrier Studies in monetary economics. 7. Inflacao E Deflacao larpcal Inflatie gtt Inflation - Modèles mathématiques Mathematisches Modell Inflation (Finance) Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Erwartung (DE-588)4015434-8 gnd rswk-swf Inflation (DE-588)4026887-1 gnd rswk-swf Inflation (DE-588)4026887-1 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Erwartung (DE-588)4015434-8 s Makroökonomisches Modell (DE-588)4074486-3 s Mathematisches Modell (DE-588)4114528-8 s Ökonometrie (DE-588)4132280-0 s Studies in monetary economics. 7. (DE-604)BV020936664 7. HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002354179&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lahiri, Kajal The econometrics of inflationary expectations Studies in monetary economics. Inflacao E Deflacao larpcal Inflatie gtt Inflation - Modèles mathématiques Mathematisches Modell Inflation (Finance) Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Ökonometrie (DE-588)4132280-0 gnd Erwartung (DE-588)4015434-8 gnd Inflation (DE-588)4026887-1 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4043212-9 (DE-588)4074486-3 (DE-588)4132280-0 (DE-588)4015434-8 (DE-588)4026887-1 |
| title | The econometrics of inflationary expectations |
| title_auth | The econometrics of inflationary expectations |
| title_exact_search | The econometrics of inflationary expectations |
| title_full | The econometrics of inflationary expectations |
| title_fullStr | The econometrics of inflationary expectations |
| title_full_unstemmed | The econometrics of inflationary expectations |
| title_short | The econometrics of inflationary expectations |
| title_sort | the econometrics of inflationary expectations |
| topic | Inflacao E Deflacao larpcal Inflatie gtt Inflation - Modèles mathématiques Mathematisches Modell Inflation (Finance) Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Ökonometrie (DE-588)4132280-0 gnd Erwartung (DE-588)4015434-8 gnd Inflation (DE-588)4026887-1 gnd |
| topic_facet | Inflacao E Deflacao Inflatie Inflation - Modèles mathématiques Mathematisches Modell Inflation (Finance) Mathematical models Ökonometrisches Modell Makroökonomisches Modell Ökonometrie Erwartung Inflation |
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