Inflation and the great ratios: long-term evidence from the U.S.
Board of Governors of the Federal Reserve System, 1998 - Inflation (Finance) - 44 pages
What people are saying - Write a review
We haven't found any reviews in the usual places.
2-trend specification 3-trend model autocorrelations billions of 1987 changes in inflation CIA constraint applies coefficient cointegrating vectors consumption-output ratio denotes effects of inflation empirical error variance attributed estimated CI vectors exogenous Federal Reserve Federal Reserve System fiscal trend forecast error variance framework full sample GDP deflator high inflation identified identity matrix imply impulse responses independent of inflation indicate inflation rate inflation shock inflation trend investment rate investment-output ratio Lag length Lagrange multipliers long-run effects long-term matrix Max eigenvalue statistic Monetary Policy negative effects nominal interest rate null hypothesis percent percentage point permanent shocks point estimates post-war post-WWII period productivity trend real interest rate real rate real variables relationship between inflation reverse-Tobin effect rise in inflation root in inflation shock Horizon shocks to inflation significant Standard errors stationary steady-state paths stochastic trends sub-periods superneutrality Tobin-type effect transitory disturbances U.S. data unit root variance decompositions VECM