The Curse of Irving Fisher (Professional Forecasters' Version)

Dynamic Euler equations restrict multivariate forecasts. Thus a range of links between macroeconomic variables can be studied by seeing whether they hold within the multivariate predictions of professional forecasters. We illustrate this novel way of testing theory by studying the links between forecasts of U.S. nominal interest rates, inflation, and real consumption growth since 1981. By using forecast data for both returns and macroeconomic fundamentals, we use the complete cross-section of forecasts, rather than the median. The Survey of Professional Forecasters yields a three-dimensional panel, across quarters, forecasters, and forecast horizons. This approach yields 14727 observations, much greater than the 107 time series observations. The resulting precision reveals a significant, negative relationship between consumption growth and interest rates.forecast survey, asset pricing, Fisher effect

Identifying the New Keynesian Phillips curve

Phillips curves are central to discussions of inflation dynamics and monetary policy. New Keynesian Phillips curves describe how past inflation, expected future inflation, and a measure of real marginal cost or an output gap drive the current inflation rate. This paper studies the (potential) weak identification of these curves under generalized methods of moments (GMM) and traces this syndrome to a lack of persistence in either exogenous variables or shocks. The authors employ analytic methods to understand the identification problem in several statistical environments: under strict exogeneity, in a vector autoregression, and in the canonical three-equation, New Keynesian model. Given U.S., U.K., and Canadian data, they revisit the empirical evidence and construct tests and confidence intervals based on exact and pivotal Anderson-Rubin statistics that are robust to weak identification. These tests find little evidence of forward-looking inflation dynamics.

Identifying the New Keynesian Phillips Curve

Phillips curves are central to discussions of inflation dynamics and monetary policy. New Keynesian Phillips curves describe how past inflation, expected future inflation, and a measure of real marginal cost or an output gap drive the current inflation rate. This paper studies the (potential) weak identification of these curves under GMM and traces this syndrome to a lack of persistence in either exogenous variables or shocks. We employ analytic methods to understand the identification problem in several statistical environments: under strict exogeneity, in a vector autoregression, and in the canonical three-equation, New Keynesian model. Given U.S., U.K., and Canadian data, we revisit the empirical evidence and construct tests and confidence intervals based on exact and pivotal Anderson-Rubin statistics that are robust to weak identification. These tests find little evidence of forward-looking inflation dynamics.Phillips curve, Keynesian, identification, inflation

Great Moderation(s) and U.S. Interest Rates: Unconditional Evidence

The US economy experienced a Great Moderation sometime in the mid-1980s -- a fall in the volatility of output growth -- at the same time as a fall in both the volatility of inflation and the average rate of inflation. We put this moderation in historical perspective by comparing it to the post-WWII moderation. According to theory, the statistical moments -- both real and nominal -- that shift during these moderations in turn influence interest rates. We examine the predictions for shifts in the unconditional average of US interest rates. A central finding is that such shifts probably were due to changes in average inflation rather than to those in the variances of inflation and consumption growth.great moderation, asset pricing

Great moderations and U.S. interest rates: unconditional evidence

The Great Moderation refers to the fall in U.S. output growth volatility in the mid-1980s. At the same time, the United States experienced a moderation in inflation and lower average inflation. Using annual data since 1890, we find that an earlier, 1946 moderation in output and consumption growth was comparable to that of 1984. Using quarterly data since 1947, we also isolate the 1969–83 Great Inflation to refine the asset pricing implications of the moderations. Asset pricing theory predicts that moderations—real or nominal—influence interest rates. We examine the quantitative predictions of a consumption-based asset pricing model for shifts in the unconditional average of U.S. interest rates. A central finding is that such shifts probably were related to changes in average inflation rather than to moderations in inflation and consumption growth.Interest rates ; Inflation (Finance)

The New Keynesian Phillips curve : lessons from single-equation econometric estimation

We review single-equation methods for estimating the hybrid New Keynesian Phillips curve (NKPC) and then apply those methods to U.S. quarterly data for 1955?2007. Estimating the hybrid NKPC by the generalized method of moments yields stable coefficients with a large role for expected future inflation. Measures of marginal costs better explain U.S. inflation than does a range of measures of the output gap. But estimates of the slope of the NKPC are imprecise and confidence intervals that are robust to weak identification are wide. Further research on measuring marginal costs may reconcile these mixed findings. A reconciliation is important if the NKPC is to remain a fundamental component of models of the monetary transmission mechanism.Inflation (Finance) ; Phillips curve

The expression of pea (pisum sativum) vicilin in the yeast, Saccharomyces cerevisiae

This study has demonstrated and investigated the expression of a cDNA, coding for the pea seed storage protein vicilin, in the yeast, Saccharomyces cerevisiae. The cDNA was contained in the plasmid pLG1.63 and has been characterised and sequenced. The sequence showed that the cDNA coded for a 47KDa type of vicilin with a putative 24 amino-acid signal peptide, a proteolytic cleavage site and one glycosylation signal. The cDNA was cloned into two yeast expression vectors. The first utilised the GALIO promoter rendering expression of the cDNA inducible galactose, the construct was called pDUB2300. The second construct, pDUB2302, placed the cDNA under the control of the PGK promoter, rendering the cDNA constitutively expressed. When transformed into yeast, both constructs produced an immunoreactive vicilin species of M(_r) =49KDa. In the case of pDUB2302 the protein was produced at up to 5.5% of total cell protein. The protein was shown to be associated with a particulate fraction and displayed altered precipitation characteristics when compared with pea vicilin. By using tunicanydn and N-glycosidase, the protein was shown to be unglycosylated. Partial purification and (^35)S-methionine labelling demonstrated that the signal pep tide remained uncleaved. Cell fractionation studies indicated that vicilin was enriched in the yeast microsomal fraction, suggesting that vicilin was located in the EH. This was confirmed electron microscopy of immuno-gold labelled yeast which showed vicilin associated with the ER. The electron micrographs also suggested that a small proportion of the protein might be reaching thecolgi apparatus and the vacuole membrane. The presence of specific cleavage products on some western blots suggested that vicilin possessed a cleavage site for a yeast protease, though whether this was the same site as the pea proteolytic cleavage site was not determined. The pattern and nature of the expression of vicilin from this cDNA was discussed in the context of heterologous protein expression in yeast in general and plant storage protein expression in yeast in particular