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DC Field | Value | Language |
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dc.contributor.author | Anderl, C | - |
dc.contributor.author | Caporale, GM | - |
dc.date.accessioned | 2024-04-19T18:51:10Z | - |
dc.date.available | 2024-04-19T18:51:10Z | - |
dc.date.issued | 2024-06-22 | - |
dc.identifier | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier.citation | Anderl, C. and Caporale, G.M. (2024) 'Functional shocks to inflation expectations and real interest rates and their macroeconomic effects', Review of World Economics, 0 (ahead of print), pp. 1 - 33. doi: 10.1007/s10290-024-00538-4. | en_US |
dc.identifier.issn | 1610-2878 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/28817 | - |
dc.description | JEL Classification: E31, E43, C32. | en_US |
dc.description.abstract | This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations and ex-ante real interest rate shocks, and then examines their macroeconomic effects in the context of a Functional Vector Autoregressive model with exogenous variables (Functional VARX). Monthly data from January 1998 to May 2023 for the US, the UK and the euro area are used for the analysis. The estimated impulse responses show significant effects of the functional shocks on both inflation and output. In addition, threshold functional local projections indicate that the effects are nonlinear and depend on central bank credibility. Further, inflation expectations shocks have similar effects to supply (demand) ones when they are driven by long-term (short-term) changes. In the presence of an inverted (steepening) real interest rate term structure, the effects are inflationary (deflationary) and expansionary (recessionary). Finally, the responses of inflation, output and the policy rate are driven primarily by the slope and curvature factors of the term structure shocks, which contain important information not captured by traditional scalar shocks. | en_US |
dc.format.extent | 1 - 33 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Springer Nature on behalf of Kiel Institute for the World Economy | en_US |
dc.rights | Copyright © The Author(s) 2024. Rights and permissions: Open Access. This article is published under an open access license (https://creativecommons.org/licenses/by/4.0/). Please check the 'Copyright Information' section either on this page or in the PDF for details of this license and what re-use is permitted. If your intended use exceeds what is permitted by the license or if you are unable to locate the licence and re-use information, please contact the Rights and Permissions team. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | inflation expectations | en_US |
dc.subject | term structure | en_US |
dc.subject | real interest rates | en_US |
dc.subject | functional shocks | en_US |
dc.title | Functional shocks to inflation expectations and real interest rates and their macroeconomic effects | en_US |
dc.type | Article | en_US |
dc.date.dateAccepted | 2024-06-08 | - |
dc.identifier.doi | https://doi.org/10.1007/s10290-024-00538-4 | - |
dc.relation.isPartOf | Review of World Economics | - |
pubs.issue | 00 | - |
pubs.publication-status | Published | - |
pubs.volume | 0 | - |
dc.identifier.eissn | 1610-2886 | - |
dc.rights.license | https://creativecommons.org/licenses/by/4.0/legalcode.en | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © The Author(s) 2024. Rights and permissions: Open Access. This article is published under an open access license (https://creativecommons.org/licenses/by/4.0/). Please check the 'Copyright Information' section either on this page or in the PDF for details of this license and what re-use is permitted. If your intended use exceeds what is permitted by the license or if you are unable to locate the licence and re-use information, please contact the Rights and Permissions team. | 12.83 MB | Adobe PDF | View/Open |
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