Browsing by Author "Froyen, R. T."
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Item Open Access The Fisher effect on long-term U.K. interest rates in alternative monetary regimes: 1844-2018(Routledge, 2021-02-28) Berument, Hakan; Froyen, R. T.The Fisher Effect is one of the most widely studied relationships in monetary economics. Previous studies have found little evidence of a Fisher effect in pre-World War I data for the United Kingdom. An explanation for this is the near white noise property of the inflation rate under the Classical Gold Standard. There is more evidence of a Fisher effect in the post-World War II years when the inflation rate showed more persistence. This paper studies the evidence on the Fisher effect over the time period 1844-2018. This period covers several distinct monetary regimes. The monetary regime is an important factor determining the time series behavior of the inflation rate which, in turn, has been shown to be crucial to the strength of the Fisher effect. Distinctive features of the study are the focus on the long-term interest rate and coverage of the current inflation targeting regime in the United Kingdom.Item Open Access Monetary policy and interest rates under inflation targeting in Australia and New Zealand(Routledge, 2015) Berument, Hakan; Froyen, R. T.One advantage cited for formal inflation targeting is that by anchoring inflationary expectations this policy framework would aid in the pricing of long-term securities. Long-term interest rates would become less sensitive to temporary shocks to the economy including policy-induced changes in short-term interest rates. This paper examines the experience in this regard of New Zealand and Australia, two countries that have been inflation targeters for many years. Our results are consistent with inflationary expectations having become more firmly anchored after the move to inflation targeting in each country. There is no evidence that the credibility of the inflation-targeting regime in either country weakened during the recent world financial crisis. © 2014 New Zealand Association of Economists Incorporated.Item Open Access Monetary policy and long term interest rates: evidence from weekly data(Elsevier BV, 2006) Berument, Hakan; Froyen, R. T.This paper assesses the effect of federal funds rate innovations on longer-term US nominal interest rates across different periods. The evidence suggests that these responses change with changes in the monetary policy regime. Time periods considered are pre- and post-1979 and different Federal Reserve Chairman’s tenure. The response of longer-term interest rates to federal funds rate innovations are shown to be smaller and less persistent in the post-1979 period when the Federal Reserve placed more emphasis on inflation. 2006 Elsevier Inc. All rights reserved.Item Open Access Potential information and target variables for UK monetary policy(Routledge, 1998) Berument, Hakan; Froyen, R. T.The relationship between traditional monetary policy goal variables (nominal GDP, real GPD and the inflation rate) and a number of financial market variables is investigated. The question examined is which if any of these financial market variables (monetary aggregates, interest rates and interest rate spreads) are potentially useful as either information variables or intermediate targets. While the implications concerning the usefulness of the financial variables considered are pessimistic concerning nominal GDP, more robust relationships are found for real GDP and inflation. The latter finding is of interest given the current UK monetary policy strategy of inflation targeting. Our results are, however, more supportive of the usefulness of several financial variables as information variables than as intermediate targets.