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Συλλογές :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Οικονομικής Επιστήμης / Department of Economics Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Τίτλος :	Using the term structure to forecast the future inflation

Δημιουργός :	Giogakis, Andreas

Συντελεστής :	Tzavalis, Elias (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of Economics (Degree granting institution)

Τύπος :	Text

Φυσική περιγραφή :	50p.

Γλώσσα :	en

Περίληψη :	This study examines empirically what the term structure of interest rates tells us about future inflation using the Fisher hypothesis. This is a very important topic because inflation is a major concern of policymakers. We have examined this relationship by using a VECM. Furthermore we have used several tests in the framework of VAR modeling such as Unit Root tests and Cointegration Tests. The study reveals that the real interest rate contains more information about the future inflation than the term spread.

Περίληψη :

This study examines empirically what the term structure of interest rates tells us about future inflation using the Fisher hypothesis. This is a very important topic because inflation is a major concern of policymakers. We have examined this relationship by using a VECM. Furthermore we have used several tests in the framework of VAR modeling such as Unit Root tests and Cointegration Tests. The study reveals that the real interest rate contains more information about the future inflation than the term spread.

Λέξη κλειδί :	Fisher equation Term structure Rational Expectations Cointegration Vector error correction

Ημερομηνία :	28-02-2015

Άδεια χρήσης :

Αρχείο: Giogakis_2015.pdf

Τύπος: application/pdf

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