SHORT TERM INTEREST RATES AND INFLATION (ECONOMETRICS, MODELLING).
Item
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Title
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SHORT TERM INTEREST RATES AND INFLATION (ECONOMETRICS, MODELLING).
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Identifier
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AAI8601622
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identifier
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8601622
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Creator
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BARCIA, NICHOLAS ANTHONY.
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Contributor
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Salih Neftci
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Date
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1985
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Commerce-Business
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Abstract
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This dissertation is an attempt to study the causal effects in the interest rate-inflation relationship in the United States for the 1960's and 1970's, within the context of a multivariate vector autoregression model. The model is estimated with anticipated inflation generated by a rational expectations forecast, three month treasury bill rates, industrial production, the standard deviation of inflation rates, and a measure of financial risk. The results of the model are quite different for the two periods. For the 1960's, we are unable to reject a null hypothesis of exogeneity for nominal rates, while anticipated inflation is not significant in explaining movements in three month treasury bill rates. The opposite is revealed for the 1970's. Exogeneity of ex ante real rates is rejected for both periods, as ex ante real rates are found to be significantly affected by movements in industrial production, as well as nominal variables.;A simulation of the model shows that nominal interest rates are highly affected by real variables in the 1960's and by nominal variables in the 1970's. The same is true for ex ante real rates. This is attributed to a lower level of inflation in the 1960's as compared to the 1970's.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
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Program
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Economics
