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Inflation Expectations in the Czech Interbank Market

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  • Martin Fukac

Abstract

Monthly data on the inflation expectations of financial analysts in the Czech Republic exhibit a tendency for permanent bias and ineffectiveness which violates the rational expectations hypothesis assumed in macroeconomic models. This paper asks whether the surveyed data include any monetary-policy relevant information, in other words, whether the surveyed expectations correspond to the true market expectations, and hence should be reflected in macro models of the Czech economy instead of the rational expectations hypothesis. Using a methodology based on a simple Fisher rule, it is found that the difference between the surveyed and market expectations is not statistically significant.

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Paper provided by The Center for Economic Research and Graduate Education - Economic Institute, Prague in its series CERGE-EI Working Papers with number wp253.

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Date of creation: Mar 2005
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Handle: RePEc:cer:papers:wp253

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Keywords: Inflation expectations; Nominal interest rate; Fisher rule.;

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  1. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  3. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
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