Arbeitspapier
Extracting growth and inflation expectations from financial market data
This study presents a framework for extracting long-run GDP growth and inflation expectations from financial market data on a real-time basis.The framework uses information from both stock and bond markets.It builds on a dividend discount model of stock valuation and on a linearized consumption Euler equation. Furthermore, expected long-run dividend growth for a broad equity index is assumed to be related to expected long-run GDP growth. Short-run and long-run dividend growth expectations are allowed to differ.The former are measured using equity index futures.We extract growth and inflation expectations for the euro area and for the United States.
- ISBN
-
952-462-117-7
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 2/2004
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Financial Markets and the Macroeconomy
General Outlook and Conditions
- Thema
-
inflation expectations
growth expectations
equity index futures
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kajanoja, Lauri
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kajanoja, Lauri
- Bank of Finland
Entstanden
- 2004
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