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

Jari Hännikäinen

No 1606, Working Papers from Tampere University, Faculty of Management and Business, Economics

Abstract: This paper examines the predictive content of the shadow rates for U.S. 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 non-zero lower bound and zero lower bound periods. In contrast, the shadow rates are uninformative about future real activity.

Keywords: shadow rate; zero lower bound; unconventional monetary policy; forecasting; data-rich environment (search for similar items in EconPapers)
JEL-codes: C53 E37 E43 E44 E58 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2016-06
New Economics Papers: this item is included in nep-mac and nep-mon
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http://urn.fi/URN:ISBN:978-952-03-0154-5 First version, 2016 (application/pdf)

Related works:
Journal Article: The shadow rate as a predictor of real activity and inflation: evidence from a data-rich environment (2017)
Working Paper: The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:tam:wpaper:1606

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