4 resultados para Ergodic Rates
em Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco
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This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.
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Published as an article in: Journal of Applied Economics, 2004, vol. VII, pages 47-76.
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Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.
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Idioma: Inglés Abstract: This project focuses on two indicators of prices, the GDP deflator and the consumer price index (CPI), and analyzes the differences and similarities they present. These price indexes have been chosen taking into account its great representativeness and importance to economic and social level, and its direct relationship to the overall functioning of the economy and, in particular, inflation. It should be also mentioned that this study was conducted for cases of the euro area and the United States, as the impact of these economies in the economic and social situation at international level is very significant.