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  1. The Subjective Inflation Expectations of Households and Firms
    Measurement, Determinants, and Implications
    Autor*in: Weber, Michael; D'Acunto, Francesco; Gorodnichenko, Yuriy; Coibion, Olivier
    Erschienen: May 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Households' and firms' subjective inflation expectations play a central role in macroeconomic and intertemporal microeconomic models. We discuss how subjective inflation expectations are measured, the patterns they display, their determinants, and... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Households' and firms' subjective inflation expectations play a central role in macroeconomic and intertemporal microeconomic models. We discuss how subjective inflation expectations are measured, the patterns they display, their determinants, and how they shape households' and firms' economic choices in the data and help us make sense of the observed heterogeneous reactions to business-cycle shocks and policy interventions. We conclude by highlighting the relevant open questions and why tackling them is important for academic research and policy making

     
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  2. The Macroeconomic Consequences of Natural Rate Shocks
    An Empirical Investigation
    Autor*in: Schmitt-Grohé, Stephanie; Uribe, Martín
    Erschienen: August 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Much of the empirical literature on the natural rate of interest has focused on estimating its path. This paper addresses the question of how exogenous movements in the natural rate of interest affect aggregate activity and inflation in the short... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Much of the empirical literature on the natural rate of interest has focused on estimating its path. This paper addresses the question of how exogenous movements in the natural rate of interest affect aggregate activity and inflation in the short and long runs. To this end it proposes a semi-structural model of output, inflation, and the policy interest rate inspired by the DSGE literature but with fewer identification and cross-equation restrictions. It then estimates it on U.S. data over the period 1900 to 2021. We find that a permanent decline in the natural rate of interest has a large negative effect on the trend of output and is contractionary and deflationary in the short run. When the economy is constrained by the zero lower bound (ZLB), these results are consistent with the secular stagnation hypothesis. However, we find that negative natural rate shocks depress the trend of output even when the economy is away from the ZLB. Thus, the results of this paper call for a more general theory of the trend effects of natural rate shocks

     
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    Sprache: Englisch
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    Schriftenreihe: NBER working paper series ; no. w30337
    Schlagworte: Natürlicher Zins; Schock; Wirkungsanalyse; Schätzung; USA; General; Money and Interest Rates
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  3. Expectations and the Neutrality of Interest Rates
    Autor*in: Cochrane, John H.
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Lucas (1972) is the pathbreaking analysis of the neutrality and temporary non-neutrality of money. But our central banks set interest rate targets, and do not even pretend to control money supplies. How is inflation determined under an interest rate... mehr

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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Lucas (1972) is the pathbreaking analysis of the neutrality and temporary non-neutrality of money. But our central banks set interest rate targets, and do not even pretend to control money supplies. How is inflation determined under an interest rate target? We finally have a complete theory of inflation under interest rate targets, that mirrors the long-run neutrality and frictionless limit of monetary theory: Inflation can be stable and determinate under interest rate targets, including a k percent rule, i.e. a peg. The zero bound era is confirmatory evidence. Uncomfortably, long-run neutrality means that higher interest rates eventually produce higher inflation, other things (and fiscal policy in particular) constant With a Phillips curve, we have some non-neutrality as well: Higher nominal interest rates raise real rates and lower output. A good model in which higher interest rates temporarily lower inflation is a harder task. I exhibit one such model. It has the Lucas property that only unexpected interest rate rises can lower inflation. A better model, and empirical understanding, is as crucial to today's agenda as Lucas (1972) was in its day Much of this is contentious. The issues are crucial for policy: Can the Fed contain inflation without dramatically raising interest rates? Given the state of knowledge, a bit of humility is in order

     
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    Schriftenreihe: NBER working paper series ; no. w30468
    Schlagworte: Neutralität des Geldes; Zentralbank; Inflationssteuerung; Zinspolitik; Geldpolitik; Geldtheorie; USA; Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  4. Long-Run Trends in Long-Maturity Real Rates 1311-2021
    Autor*in: Rogoff, Kenneth S.; Rossi, Barbara; Schmelzing, Paul
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Taking advantage of key recent advances in long-run financial and economic data, this paper analyzes the statistical properties of global long-maturity real interest rates over the past seven centuries. In contrast to existing consensus, which has... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Taking advantage of key recent advances in long-run financial and economic data, this paper analyzes the statistical properties of global long-maturity real interest rates over the past seven centuries. In contrast to existing consensus, which has overwhelmingly concentrated on short samples for short-maturity rates, we find that long-maturity real interest rates across advanced economies are in fact trend stationary, and exhibit a persistent downward trend since the Renaissance. We investigate structural breaks in real interest rates over time using multiple statistical approaches, and find that only the Black Death and the "Trinity default" of 1557 appear as consistent inflection points in capital markets on both global and country levels. While a 1914 break is also suggested in multiple series (though less robust than existing literature would lead one to expect), the evidence for an inflection point in 1981 appears much weaker. We further examine trends in persistence, as well as commonly-invoked drivers of global real rates: exploiting significant data advances, we argue that historically, demographic and productivity factors appear to show no promising causal role, and in fact diverge from real interest rates over the long run

     
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    Schriftenreihe: NBER working paper series ; no. w30475
    Schlagworte: Zins; Realzins; Wirtschaftsgeschichte; Money and Interest Rates; International Finance; General, International, or Comparative
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  5. Dollar Reserves and U.S. Yields
    Identifying the Price Impact of Official Flows
    Autor*in: Ahmed, Rashad; Rebucci, Alessandro
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper shows that the price impact of foreign official (FO) purchases or sales of U.S. Treasuries (USTs) is about twice as large as previously reported in the literature once critical sources of endogeneity are addressed. We also show that... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    This paper shows that the price impact of foreign official (FO) purchases or sales of U.S. Treasuries (USTs) is about twice as large as previously reported in the literature once critical sources of endogeneity are addressed. We also show that prevailing estimates of this price impact suffer from omitted variable bias when foreign government bond yields and Federal Reserve policies are not controlled for. By exploiting changes in the volatility of FO flows and U.S. yields after the 2008 Global Financial Crisis, we identify a FO flow shock via heteroskedasticity in a structural VAR. We estimate that a $100B flow shock moves the 5-year, 10-year, and 30-year yields by more than 100 basis points on impact, compared to the 19-44 basis points range that we estimate by assuming FO flows are price inelastic and without controlling for foreign yields and Fed actions. Our findings suggest that FO sales of USTs played a critical role during the March 2020 episode of Treasury market turmoil and that even a small reduction in the Dollar's share of China's reserves could have a significant impact on U.S. long-term interest rates

     
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    Schriftenreihe: NBER working paper series ; no. w30476
    Schlagworte: Internationaler Finanzmarkt; Kapitalmobilität; Währungsreserven; US-Dollar; Staatspapier; Money and Interest Rates; International Factor Movements and International Business; General; General Financial Markets
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  6. Perceptions about Monetary Policy
    Autor*in: Bauer, Michael D.; Pflueger, Carolin E.; Sunderam, Adi
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We estimate perceptions about the Fed's monetary policy rule from micro data on professional forecasters. The perceived rule varies significantly over time, with important consequences for monetary policy and bond markets. Over the monetary policy... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We estimate perceptions about the Fed's monetary policy rule from micro data on professional forecasters. The perceived rule varies significantly over time, with important consequences for monetary policy and bond markets. Over the monetary policy cycle, easings are perceived to be quick and surprising, while tightenings are perceived to be gradual and data-dependent. Consistent with the idea that forecasters learn about the policy rule from policy decisions, the perceived monetary policy rule responds to high-frequency monetary policy surprises. Variation in the perceived rule impacts financial markets, explaining changes in the sensitivity of interest rates to macroeconomic announcements and affecting risk premia on long-term Treasury bonds. It also helps explain forecast errors for the future federal funds rate. We interpret these findings through the lens of a model with forecaster heterogeneity and learning from observed policy decisions

     
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    Schriftenreihe: NBER working paper series ; no. w30480
    Schlagworte: Geldpolitik; Geldpolitische Transmission; Wirtschaftsprognose; Behavioral Macroeconomics; Money and Interest Rates; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems; Financial Markets and the Macroeconomy; Asset Pricing; Trading Volume; Bond Interest Rates
    Umfang: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers