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

Jari Hännikäinen

Applied Economics Letters, 2017, vol. 24, issue 8, 527-535

Abstract: 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.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2016.1208347 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment (2016)
Working Paper: The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:24:y:2017:i:8:p:527-535

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2016.1208347

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().