E47 - Forecasting and Simulation: Models and Applications
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Inflation Expectations and Learning about Monetary Policy
Various measures indicate that inflation expectations evolve sluggishly relative to actual inflation. In addition, they often fail conventional tests of unbiasedness. -
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.
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