Εξέταση της ικανότητας της μακροοικονομίας στην πρόβλεψη μελλοντικών μεταβολών των επιτοκίων.
Master Thesis
Συγγραφέας
Δρακάκης, Ιωάννης
Ημερομηνία
2002-12-01Προβολή/ Άνοιγμα
Θεματική επικεφαλίδα
Microeconomics ; Monetary economics ; Ineterest rates forecastingΠερίληψη
A recent strand of the macroeconomic literature has analyzed monetary policy by including the central bank reaction function in small empirical macro models. By simulating these models forward it is possible to derive the full forward path of short-term interest rates and hence to construct any long-term interest rate consistent with the expectations theory. Then, a direct test of the validity of the expectation models using macroeconomics, based on full information, can be immediately constructed by comparing observed long-term rates with the simulated ones and the associated 95% confidence interval.