THE REAL-INTEREST-RATE GAP AS AN INFLATION INDICATOR
THE REAL-INTEREST-RATE GAP AS AN INFLATION INDICATOR
复制标题
实际利率差距作为通胀指标
DOI：
10.1017/s1365100502020011
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发表时间：
2001
影响因子：
0.9
通讯作者：
Edward Nelson
中科院分区：
文献类型：
--
作者：
Katharine S. Neiss;Edward Nelson
一个长期存在的研究和政策兴趣领域是构建货币政策立场的衡量标准。有人提出，实际真实的利率与对应的弹性价格或自然利率之间的利差，可以替代采用货币总量或汇率的指数。本文利用动态随机一般均衡模型研究了自然真实的利率和真实利率缺口的性质。我们研究的问题包括差距及其组成部分对基本面经济冲击的反应，以及实际利率差距对通货膨胀的指标和预测属性，无论是在模型中还是在数据中。我们的研究结果表明，实际利率缺口作为一个通货膨胀指标的价值，支持新维克塞尔框架。
A long-standing area of research and policy interest is the construction of a measure of monetary policy stance. One measure that has been proposed, as an alternative to indices that employ monetary aggregates or exchange rates, is the spread between the actual real interest rate and its flexible-price, or natural-rate, counterpart. We examine the properties of the natural real interest rate and real-interest-rate gap using a dynamic stochastic general equilibrium model. Issues we investigate include the response of the gap and its components to fundamental economic shocks and the indicator and forecasting properties of the real-interest-rate gap for inflation, both in the model and in the data. Our results suggest that the real-interest-rate gap has value as an inflation indicator, supporting a neo-Wicksellian framework.