Tag Archive | "inflacion"

Argentina, asi te ven…. (II)

Argentina, asi te ven…. (II)

Tal vez se vuelve un clásico…

En esta ocasión es el turno del Global Data Watch de J.P. Morgan, fechado el 24 de Febrero.

 


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Paper: TIPS, valor de opción

Paper: TIPS, valor de opción

The Information Content of the Embedded Deflation Option in TIPS

Abstract: 

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option price index and an embedded option return index. We then use our embedded option indices as independent variables and examine their statistical and economic significance for explaining the future inflation rate. In most of our regressions, our embedded option return index is significant even in the presence of traditional inflation variables, such as the yield spread between nominal Treasuries and TIPS, the return on gold bullion, the VIX index return, and the lagged inflation rate. We conduct several robustness tests, including alternative weighting schemes, alternative variable specifications, and alternative data samples. We conclude that the embedded option in TIPS contains useful information for future inflation, both in-sample and out-of-sample. Our results should be valuable to practitioners, monetary authorities, and policymakers alike.

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Paper: Commodity e inflación

Do Commodity Price Spikes Cause Long-Term Inflation?

Abstract:
This public policy brief examines the relationship between trend inflation and commodity price
increases and finds that evidence from recent decades supports the notion that commodity price
changes do not affect the long-run inflation rate. Evidence from earlier decades suggests that
effects on inflation expectations and wages played a key role in whether commodity price
movements altered trend inflation.  This brief  is based on a  memo  to the  president of the
Federal Reserve Bank of Boston as background to a meeting of the Federal Open Market
Committee.
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Infograma du Jour: Tasa e inflación en Asia

Infograma du Jour: Tasa e inflación en Asia

(Fuente: Bloomberg Business Week)

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Una Galería de Gráficos

Es lo que tiene el excelente blog Calculated Risk. Tratan solo sobre la Economía de Estados Unidos, pero aún así hay variedad para todos los gustos. Vale la pena una recorrida, para un poco de perspectiva.

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Paper: Keynes, deuda y trampa de liquidez

Debt, Deleveraging, and the Liquidity Trap

In this paper we present a simple New Keynesian-style model of debt-driven slumps – that is, situations in which an overhang of debt on the part of some agents, who are forced into rapid deleveraging, is depressing aggregate demand. Making some agents debt-constrained is a surprisingly powerful assumption: Fisherian debt deflation, the possibility of a liquidity trap, the paradox of thrift, a Keynesian-type multiplier, and a rationale for expansionary fiscal policy all emerge naturally from the model. We argue that this approach sheds considerable light both on current economic difficulties and on historical episodes, including Japan’s lost decade (now in its 18th year) and the Great Depression itself.

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