重要事項 Import Notes

重要事項 Import Notes
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2013-10-31

COINTEGRATION AND SHORT-RUN DYNAMICS OF U.S. LONG BOND RATE AND INFLATION RATE


作者:
Kasibhatla, Krishna M.1
資料來源:
North American Journal of Finance & Banking Research. 2010, Vol. 4 Issue 4, p50-61. 12p. 4 Charts.
文件類型:
Article
主題術語:
*COINTEGRATION
*BONDS (Finance) -- Ratings & rankings
*BONDS (Finance)
*INTEREST rates -- Effect of inflation on
*FISHER effect (Economics)
*BANKING industry -- United States
地理詞彙:
UNITED States
作者提供的關鍵字:
cointegration
degree of integration
erro-correction
Granger causality
unit root
NAICS/產業代碼:
522298 All Other Nondepository Credit Intermediation
摘要:
According to the Fisher hypothesis the nominal bond interest rate adjusts to changes in the expected rate of inflation. This also implies the efficiency of the financial asset markets. Optimizing behavior of agents in asset markets requires that the nominal yield on bonds and expectations of inflation move in the same direction. The original Fisher hypothesis stipulates a one-to-one relationship between expectedrate of inflation and nominal interest rates, unadjusted for taxes. This dynamic relationship between the long-bond yield and expectedinflation rate as well as the long-run equilibrium relationship between the two rates, in the presence of the Federal Reserve's close monitoring of the inflation rate, is investigated using the Johansen and Juselius (JJ) (1990, 1995) cointegration and equilibrium error correction methodology. The empirical results of our study strongly indicate that bond rate and consumer inflation rate are cointegrated. Secondly, bond rate is caused by consumer price inflation and consumer inflation is not caused by bond rate. Further, our empirical results support Darby's (1975) finding of 'augmented Fisher effect.' The implication of this finding is that the interest rate, not adjusted for taxes, has to increase by nearly 1.52 when the inflation rate rises by one unit in order to keep the real rate constant. [ABSTRACT FROM AUTHOR]
 
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作者所屬機構:
1North Carolina A&T State University, USA
ISSN:
1933-3447
入藏號碼:
52918221
http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=2a36f3d7-466a-43be-9973-8cee24db6ad1%40sessionmgr198&hid=128&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=52918221
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每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
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== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」