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Do asset prices help to predict consumer price inflation?

热1 littlepq 添加于 2010-3-4 11:31 | 2049 次阅读 | 0 个评论

作者
Goodhart C, Hofmann B
摘要
With goods prices being sticky, monetary impulses are initially transmitted to the real economy via changes in asset prices; and asset price fluctuations can independently affect monetary and real developments. Most empirical models try to incorporate such monetary-asset price interactions by the inclusion of a short-term interest rate and the exchange rate, but there are good reasons to doubt the sufficiency of this. Here we examine whether the predictive power of a reduced form equation for inflation, including standard explanatory variables, can be improved by adding other asset price variables, i.e. the changes in housing and equity prices and a yield spread. In our cross-country time series exercise, we find that housing price movements do provide useful extra information on future inflation, with equity prices and the yield spread being somewhat less informative.
详细资料
- 关键词: MONETARY CONDITIONS
- 文献种类: Journal article
- 期刊名称: MANCHESTER SCHOOL
- 期卷页: 2000年第68卷 Suppl. S页
- 出版社: BLACKWELL PUBL LTD, 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND
- 地址: 1. London Sch Econ, Financial Markets Grp, London, England
- ISBN: 1463-6786
学科领域人文社科 » 经济学