The shadow rate as a predictor of real activity and inflation: evidence from a data-rich environment

被引：5
|
作者：
Hannikainen, Jari [1 ]
机构：
[1] Univ Tampere, Sch Management, Tampere, Finland
来源：
APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 08期
关键词：
Shadow rate; zero lower bound; unconventional monetary policy; forecasting; data-rich environment; US;
D O I：
10.1080/13504851.2016.1208347
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article examines the predictive content of the shadow rates for US real activity and inflation in a data-rich environment. We find that the shadow rates contain substantial out-of-sample predictive power for inflation in nonzero lower bound and zero lower bound periods. In contrast, the shadow rates are uninformative about future real activity.
引用
收藏
页码：527 / 535
页数：9
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