Spelling suggestions: "subject:"inflation (finance)amathematical models"" "subject:"inflation (finance)inmathematical models""
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Essays on discretionary inflationNeiss, Katharine Stefanie 05 1900 (has links)
The focus of the following three essays rests on the Kydland-Prescott (1977) and
Barro-Gordon (1983) model of time inconsistent discretionary monetary policy. The first
essay derives a model in which the costs and benefits to inflation are tied to the underlying
features of the economy. The benefit to inflation arises due to monopolistic competition
among firms and the cost is due to a staggered timing structure for nominal money. The
benefit of this approach is that it can be shown that factors that increase the monetary
authority's incentive to inflate may also increase the costs to inflation, and therefore do
not necessarily result in a worsened inflation bias. In particular, the model shows that
discretionary inflation in the economy is nonmonotonically related to the distortion. The
model also indicates that changes in the real interest rate affect the monetary authority's
incentives and hence the discretionary rate of inflation. An increase in the labor share
raises the discretionary rate. Lastly, lack of commitment, costs to inflation, and the
presence of a distortion are crucial for discretionary inflation to be biased above the
Friedman (1969) rule. The second essay builds on the first, extending the model to
an open economy environment. The extended model indicates several channels through
which openness affects the monetary authority's incentives. Most significantly, the model
cannot replicate the Romer (1993) and Lane (1995) result that openness reduces the
discretionary rate of inflation. Again, the model relates the underlying features of the
economy on the discretionary rate, and an economy's foreign asset position. Strategic
incentives are also important for determining whether an open economy's rate of inflation is less than that of a comparable closed economy. The last essay analyzes empirically the
relationship between the overall degree of competition among firms, as measured by the
markup, and the average rate of inflation for the OECD group of countries. In line with
the time-consistency argument, results indicate a positive relationship between markups
and inflation. This finding is robust to the inclusion of several explanatory variables,
such as terms of trade effects, and central bank independence. The evidence is weak,
however, in the presence of per capita GDP.
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Essays on discretionary inflationNeiss, Katharine Stefanie 05 1900 (has links)
The focus of the following three essays rests on the Kydland-Prescott (1977) and
Barro-Gordon (1983) model of time inconsistent discretionary monetary policy. The first
essay derives a model in which the costs and benefits to inflation are tied to the underlying
features of the economy. The benefit to inflation arises due to monopolistic competition
among firms and the cost is due to a staggered timing structure for nominal money. The
benefit of this approach is that it can be shown that factors that increase the monetary
authority's incentive to inflate may also increase the costs to inflation, and therefore do
not necessarily result in a worsened inflation bias. In particular, the model shows that
discretionary inflation in the economy is nonmonotonically related to the distortion. The
model also indicates that changes in the real interest rate affect the monetary authority's
incentives and hence the discretionary rate of inflation. An increase in the labor share
raises the discretionary rate. Lastly, lack of commitment, costs to inflation, and the
presence of a distortion are crucial for discretionary inflation to be biased above the
Friedman (1969) rule. The second essay builds on the first, extending the model to
an open economy environment. The extended model indicates several channels through
which openness affects the monetary authority's incentives. Most significantly, the model
cannot replicate the Romer (1993) and Lane (1995) result that openness reduces the
discretionary rate of inflation. Again, the model relates the underlying features of the
economy on the discretionary rate, and an economy's foreign asset position. Strategic
incentives are also important for determining whether an open economy's rate of inflation is less than that of a comparable closed economy. The last essay analyzes empirically the
relationship between the overall degree of competition among firms, as measured by the
markup, and the average rate of inflation for the OECD group of countries. In line with
the time-consistency argument, results indicate a positive relationship between markups
and inflation. This finding is robust to the inclusion of several explanatory variables,
such as terms of trade effects, and central bank independence. The evidence is weak,
however, in the presence of per capita GDP. / Arts, Faculty of / Vancouver School of Economics / Graduate
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Housing price dispersion: an empirical investigation.January 2002 (has links)
Leong Chan Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 100-105). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgements --- p.iii / Table of Contents --- p.iv / List of Tables --- p.v / List of Figures --- p.vi / Chapter Section 1 --- Introduction --- p.1 / Chapter Section 2 --- Literature Review --- p.5 / Chapter Section 3 --- Data Description --- p.13 / Chapter 3.1 --- Transaction Prices --- p.13 / Chapter 3.2 --- Macroeconomic Variables --- p.15 / Chapter Section 4 --- Methodology --- p.19 / Chapter 4.1 --- Hedonic Pricing --- p.21 / Chapter 4.2 --- Measurements --- p.22 / Chapter 4.3 --- Stationarity --- p.24 / Chapter 4.4 --- Vector Autoregressive Model and Granger Causality --- p.27 / Chapter Section 5 --- Hypothesis Testing --- p.31 / Chapter Section 6 --- Empirical Results --- p.35 / Chapter 6.1 --- Hedonic Pricing Models --- p.35 / Chapter 6.2 --- Real Housing Price Dispersion Indicators and Macro Variables --- p.36 / Chapter 6.3 --- Stationary Tests --- p.37 / Chapter 6.4 --- Results from the Ordinary Least Square Regressions --- p.37 / Chapter 6.5 --- Results from the Vector Auto Regressive Models --- p.40 / Summary and Conclusion --- p.46 / Appendix 1 Tables --- p.49 / Appendix 2 Figures --- p.80 / Reference --- p.100
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Predictive ability or data snopping? : essays on forecasting with large data setsKışınbay, Turgut January 2004 (has links)
This thesis examines the predictive ability of models for forecasting inflation and financial market volatility. Emphasis is put on evaluation of forecasts and the usage of large data sets. Variety of models are used to forecast inflation, including diffusion indices, artificial neural networks, and traditional linear regressions. Financial market volatility is forecast using various GARCH-type and high-frequency based models. High-frequency data are also used to obtain ex-post estimates of volatility, which is then used to evaluate forecasts. All forecast are evaluated using recently proposed techniques that can account for data snooping bias, nested, and nonlinear models.
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Predictive ability or data snopping? : essays on forecasting with large data setsKışınbay, Turgut January 2004 (has links)
No description available.
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THE EFFECT OF INFLATION ON EQUITY RETURNS: THEORY AND EMPIRICAL TESTS FOR JAPANESE MARKETS.HIRAKI, TAKATO. January 1983 (has links)
This study develops empirical models for comprehensive inflation effects on stock returns in the Japanese economic and financial framework. Basically these models deal with the two kinds of wealth effects and inflation risk premia. The wealth transfers are related to a tax system and other institutional constraints while the wealth-size effect is based on the more fundamental stock price determinant of the flows of earnings. The inflation risk premia are the additionally required part of returns due to relative uncertainties in common stock investment under unstable inflation. Based on the stock valuation theory and on the efficiency of stock markets, it is found that the net effect of wealth transfers appears in ex post stock returns if expected inflation shifts from one level to another. However, the effect of the inflation-caused wealth transfers will not appear in stock returns even in varying inflation if positive and negative wealth transfers are perfectly offset. The test result supports this offset. As the result of testing inflation risk premia, the stock market tends to compensate the premia of unstable inflation for investors. Finally the wealth-size effect relates anticipated real activity to inflation in monetary sector behaviors as well as anticipated real activity to stock returns in real sector behaviors. The intermediate variable to transmit inflation to stock returns is real activity. In this context, inflation is just the proxy for real activity which essentially determines firm values. Empirically the wealth-size effect is supported with the inverse relationship between inflation and real stock returns. For Japanese economy, however, the wealth-size effect is not explained by the standard theory of capital investment. Real activity is correlated to (profit) returns on existing capital but not related to corporate capital investment. Capital investment is independent of other real sector variables as well as inflation. The result is attributed to governmental policy and controls for corporate investment. Thus, the obtained relationship between stock returns and inflation includes less practical implication in investment behaviors.
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Inflation-induced distortions of the real economy : an econometric and simulation study of housing and mortgage innovation.Kearl, J. R. (James R.) January 1975 (has links)
Thesis. 1975. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / Vita. / Bibliography: leaves 337-347. / Ph.D.
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Optimum interest rate for a country under a floating exchange rate systemAbe, Shigeyuki January 1977 (has links)
Typescript. / Thesis (Ph. D.)--University of Hawaii at Manoa, 1977. / Bibliography: leaves 92-95. / Microfiche. / vii, 95 leaves ill
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An empirical investigation of a new Keynesian Phillips curve for the U.S.January 2009 (has links)
Lo, Kai Lisa. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 43-46). / Abstract also in Chinese. / Chapter 1. --- Introduction --- p.7 / Chapter 2. --- Literature Review --- p.10 / Chapter 3. --- Measuring the Labor Share with US Data --- p.14 / Chapter 3.1 --- Definition and Measurement --- p.14 / Chapter 3.2 --- Some Crude Evidence --- p.16 / Chapter 4. --- A Theoretical Relationship between Labor Share and Inflation in an Open Economy --- p.19 / Chapter 4.1 --- A Static Closed-economy Pricing Model --- p.20 / Chapter 4.2 --- Dynamic Model Based on Quadratic Adjustment Costs --- p.22 / Chapter 4.3 --- An Open-economy Dynamic Pricing Model --- p.30 / Chapter 5. --- An Empirical Investigation --- p.34 / Chapter 5.1 --- Data --- p.34 / Chapter 5.2 --- Estimation Results --- p.36 / Chapter 5.2.1 --- General Findings --- p.37 / Chapter 5.2.2 --- The Role of Adjustment Costs --- p.39 / Chapter 5.2.3 --- Predicting U.S. Inflation --- p.40 / Chapter 6. --- Conclusions --- p.42 / References --- p.43 / Figures and Tables --- p.47 / Data Appendix --- p.56
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Money, wage, exchange rate and inflation in China.January 2009 (has links)
Wu, Zhouheng. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 44-46). / Abstract also in Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.3 / Chapter 3. --- Overview of Key Factors that affect inflation in China --- p.6 / Chapter 3.1 --- Output Growth --- p.6 / Chapter 3.2 --- Money Supply --- p.7 / Chapter 3.3 --- Exchange Rate --- p.7 / Chapter 3.4 --- Wage --- p.8 / Chapter 3.5 --- Other Exogenous Shocks --- p.10 / Chapter 4. --- The Model --- p.11 / Chapter 4.1 --- Households --- p.12 / Chapter 4.2 --- Production Firms --- p.16 / Chapter 4.2.1 --- Non-Traded Sector --- p.16 / Chapter 4.2.2 --- Traded Sector --- p.19 / Chapter 4.3 --- Import Prices --- p.20 / Chapter 4.4 --- Monetary Policy Rules --- p.21 / Chapter 4.5 --- Domestic and External Shocks --- p.23 / Chapter 4.6 --- Market Clearing Conditions --- p.24 / Chapter 5. --- Calibration --- p.26 / Chapter 5.1 --- Calibration of parameter values --- p.26 / Chapter 5.2 --- Theoretical Impulse Responses and Variance Decomposition --- p.28 / Chapter 6. --- Model Fitness --- p.33 / Chapter 7. --- Conclusion Remarks --- p.35 / References --- p.38 / Appendix / Appendix A Equilibrium Conditions --- p.41 / Appendix B Steady State --- p.43 / Appendix C Simulation --- p.45 / Appendix D Data Description and Empirical Results --- p.56
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