Analysis of heterogeneity of inflation expectation based on genetic algorithm and time series model

2020 ◽  
pp. 1-11
Author(s):  
Haoyang Tan ◽  
Qiang Zhang
Keyword(s):  
Genetic Algorithm ◽  
Monetary Policy ◽  
Selection Process ◽  
Great Influence ◽  
Search Space ◽  
Policy Formulation ◽  
Practical Significance ◽  
Inflation Expectations ◽  
Inflation Expectation ◽  
Overlap Model

The heterogeneity of inflation expectations, especially the residents’ inflation expectations, has a great influence on controlling the actual inflation rate and the effective implementation of my country’s monetary policy. In the process of monetary policy formulation, the monetary authorities need to pay more attention to the heterogeneous expectations among microeconomic individuals. This paper introduces the genetic algorithm, a new artificial intelligence method, to analyze the demand for the heterogeneity of inflation expectations and explains the basic steps to use it and how to apply it to explain problems in economics. Moreover, this paper uses a genetic algorithm-based generation overlap model to simulate the dynamic evolution of inflation heterogeneity among residents and the equilibrium selection process of price levels in a wide search space. The results of the simulation experiment show that it is of practical significance to use genetic algorithms to simulate the dynamic process of the heterogeneity of residents’ inflation expectations.

scholarly journals The Analysis of Monetary Transmission Mechaniscm by Expectation Patterns in Influencing the Inflation

2018 ◽  
Vol 6 (4) ◽  
pp. 412-419
Author(s):  
Ilma Ulfatul
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Transmission Mechanism ◽  
Output Gap ◽  
Inflation Expectations ◽  
Short Term ◽  
Inflation Expectation ◽  
Policy Transmission ◽  
Monetary Policy Transmission Mechanism

Bank Indonesia set inflation targeting framework from 1 July 2005 by publicizing the inflation target or forward inflation to the public. However, the phenomenon show that most of the actual inflation of Indonesia is not in accordance with inflation targeting that have been set by Bank Indonesia. The purpose of this research is to analyze and know the flow of monetary policy transmission mechanism of expectation line in influencing inflation, to analyze and to know the influence of long-term and short-term and the shocks of interest rate, exchange rate, inflation expectations, output gap and GDP on inflation in Indonesia. The variables used in this research are BI Rate, Exchange Rate, Inflation Expectation, Output Gap, GDP and Inflation. The data used in this research is monthly data of time series from January 2006 until June 2016 which come from Bank Indonesia (BI) and Central Statistic Agency (BPS). The method used in this research is Vector Error Correction Model (VECM). The result of research indicates that: The flow of monetary policy transmission mechanism of expectation line in influencing inflation in Indonesia runs continuously with indicated the existence of two-way relationship between exchange rate and inflation variable, in the short term, the BI Rate, Exchange Rate and Output Gap are significant and positively affect inflation, inflation expectation variables are significant and affect inflation and GDP variable is insignificant to inflation in Indonesia, while in long run variable affecting inflation rate are BI Rate and inflation expectations, based on the variance decomposits result shows that the biggest variant contributing to inflation in Indonesia is the BI Rate.

scholarly journals Pakistan’s Monetary Policy: Some Fundamental Issues

2017 ◽  
Vol 56 (1) ◽  
pp. 31-58 ◽  
Author(s):  
Zafar Hayat
Keyword(s):  
Monetary Policy ◽  
Conflicts Of Interest ◽  
Policy Decision ◽  
Policy Formulation ◽  
Central Banking ◽  
Jel Classification ◽  
Price Stability ◽  
Inflation Expectations ◽  
Academic Qualification ◽  
Institutional Capacity Building

Over the last three decades, the landmark transformation of central banks from secrecy to openness and transparency has significantly enhanced their performance to successfully anchor inflation expectations and achieve price stability. The extent of such a transformation of the State Bank of Pakistan (SBP), especially in terms of statutory objectives, monetary policy mandate, conflicts of interest, disclosures, and dissemination of effective public economic information is assessed vis-à-vis the current popular central banking practices. The assessment indicates that the SBP is yet to be transformed to be able to achieve price stability which is a cornerstone for the achievement of sustainable economic growth. On the statutory front, such a transformation requires amending the SBP Act 1956, in line with the statutes for the best monetary policy frameworks by; (1) making price stability as the overriding objective of the SBP; (2) putting in place a clear mechanism for its accountability against price stability, consistent inflation targets, and; (3) elimination of the cushion for government‘s involvement with the monetary policy decision making processes. Some of the other areas like, institutional capacity building of the SBP, in terms of the relevance and level of the academic qualification, research profiles, and experiences of the Board, higher as well as lower tier management need special attention. Such transformations may not only enhance assimilation, creation, sharing, and funnelling of existing as well as new knowledge into monetary policy formulation, but may help change the static mindset at the SBP, hence allowing the institution to flourish. JEL Classification: E5, E52, E58 Keywords: Statutory Objectives, Conflicts of Interest, Disclosures, SBP

scholarly journals The dynamics of survey-based household inflation expectations in India

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Saakshi Jha
Keyword(s):  
Monetary Policy ◽  
Survey Data ◽  
Causal Effect ◽  
Developed Countries ◽  
Structural Var ◽  
Inflation Expectations ◽  
Data Set ◽  
Content Type ◽  
Inflation Expectation ◽  
Long Run

PurposeThe authors analyze households' inflation expectations data for India, collected quarterly by the RBI for more than a decade. The contribution of this paper lies in two folds. First, this study examines the relationship between relatively recent inflation expectations survey of households (IESH) and the actual inflation for India. Secondly, the authors employ a structural VAR with the time period 2006 Q2 to 2020 Q2 on inflation expectation survey data of India. A short-term non-recursive restriction is imposed in the model in order to capture the simultaneous co-dependence causal effect of inflation expectation and realized inflation.Design/methodology/approachThis paper studies the dynamic behavior of inflation expectations survey data in two folds. First, the authors analyze the time series property of the survey data. The authors begin with testing the stationarity property of the series, followed by the casual relationship between the expected and actual inflation. The authors further examine the short-run and long-run behavior of the IESH with actual inflation. Employing autoregressive distributed lag and Johansen co-integration, the authors tested if a long-run relationship exists between the variables. In the second approach, the authors investigate the determinants of inflation expectations by employing a non-recursive SVAR model.FindingsThe preliminary explanatory test reveals that inflation expectation is a policy variable and should be used in monetary policy as an instrument variable. The model identifies the price puzzle for India. The authors find that the response of inflation to a monetary policy shock is neutral. The results also indicate that the expectations of the general public are self-fulfilling.Originality/valueIESH has only commenced from September 2005, hence is relatively new as compared to other survey in developed countries. Being a new data set so far, the authors could not locate any study devoted in analyzing the behavior of the data with other macroeconomic variables.

scholarly journals Does Monetary Policy Credibility Help in Anchoring Inflation Expectations? Evidence from Six Inflation Targeting Emerging Economies

2021 ◽  
Vol 10 (1) ◽  
pp. 93-111
Author(s):  
Aslı Güler
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Emerging Economies ◽  
Inflation Targeting ◽  
Emerging Market ◽  
Inflation Expectations ◽  
Inflation Target ◽  
The Public ◽  
Inflation Expectation ◽  
Using Data

Abstract Most emerging market central banks have adopted inflation targeting as their monetary policy system. The heart of inflation targeting system is inflation expectations. The success of a central bank in achieving targets depends on to the extent to which inflation expectations are formed by the announced targets. As the credibility of the central bank increases, its ability to affect the public expectation also increases. The public adjusts its inflation expectations based on announced inflation target only in case of that they believe that the central bank has the sufficiency to reach the inflation target. Credibility enables expectation to be formed in a forward-looking way by weakening its connection with the past. This study aims to contribute to the literature concerning the effects of credibility on monetary policy. For this purpose, using data of six emerging inflation targeting economies (Turkey, Brazil, the Czech Republic, Chile, Poland, and South Africa), the empirical tests were carried out in order to understand the effect of the credibility on the behaviour of inflation expectation in emerging economies. The findings denote that credibility is quite relevant to reduce inflation expectations and contributes to the strength of inflation targets being an anchor for inflation expectations.

scholarly journals Monetary Policy Surprises and Inflation Expectation Dispersion

2020 ◽  
Vol 20 (252) ◽  
Author(s):  
Bertrand Gruss ◽  
Sandra Lizarazo ◽  
Francesco Grigoli
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Rational Expectations ◽  
The United States ◽  
Inflation Expectations ◽  
Federal Funds Rate ◽  
Inflation Expectation ◽  
Inflation Forecasts ◽  
Effect Of Monetary Policy ◽  
Information Rigidity

Anchoring of inflation expectations is of paramount importance for central banks’ ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the United States, we calculate monetary policy surprises of individual analysts as the unexpected changes in the federal funds rate before the meetings of the Federal Reserve Board. We then assess the effect of monetary policy surprises on the dispersion of inflation expectations, a proxy for the extent of anchoring, which is based on the same analysts’ inflation projections submit-ted after the Fed meetings. With an identification strategy that hinges on a tight window around the Fed meetings, we find that monetary policy surprises lead to an increase in the dispersion of inflation expectations up to nine months after the policy meeting. We rationalize these results with a partial equilibrium model that features rational expectations and sticky information. When we allow the degree of information rigidity to depend on the realization of firm-specific shocks, the theoretical results are qualitatively consistent and quantitatively close to the empirical evidence.

Credit Restriction or Economic Growth?

2019 ◽  
pp. 45-54
Author(s):  
E.Y. Sokolova ◽  
A.S. Tanasova
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Domestic Demand ◽  
Retirement Age ◽  
Inflation Expectations ◽  
Negative Consequences ◽  
Credit Restriction

At the end of 2018 — the very beginning of 2019 Russia faced negative consequences of the economic measures that took place in 2018, such as the retirement age rising, tightening sanctions against Russia, VAT rising which caused increased inflation expectations of people. The Bank of Russia increased the key rate in response. All these measures lead to decrease of domestic demand, and not stimulate economic growth. The article examines the possibility of using the monetary policy method of credit restriction to fulfil the presidential act to stimulate economic growth.

scholarly journals The Influence of Trading Volume, Market Trend, and Monetary Policy on Characteristics of the Chinese Stock Exchange: An Econophysics Perspective

Open Physics ◽  
2019 ◽  
Vol 17 (1) ◽  
pp. 985-998
Author(s):  
Meng Ran ◽  
Zhenpeng Tang ◽  
Weihong Chen
Keyword(s):  
Monetary Policy ◽  
Trading Volume ◽  
Stock Exchange ◽  
Composite Index ◽  
Policy Formulation ◽  
Time Intervals ◽  
Monetary Policies ◽  
Policy Cycles ◽  
Trading Volumes ◽  
Healthy Growth

Abstract The paper adopts the financial physics approach to investigate influence of trading volume, market trend, as well as monetary policy on characteristics of the Chinese Stock Exchange. Utilizing 1-minute high-frequency data at various time intervals, the study examines the probability distribution density, autocorrelation and multi-fractal of the Shanghai Composite Index. Our study finds that the scale of trading volume, stock market trends, and monetary policy cycles all exert significant influences on micro characteristics of Shanghai Composite Index. More specifically, under the conditions of large trading volumes, loose monetary policies, and downward stock trends, the market possesses better fitting on Levy’s distribution, the volatility self-correlation is stronger, and multifractal trait is more salient. We hope our study could provide better guidance for investment decisions, and form the basis for policy formulation aiming for a healthy growth of the financial market.

Minimization of total trim loss occurring in pipe cutting in shipbuilding with genetic algorithm

2021 ◽  
pp. 147509022199169
Author(s):  
Abdullah Türk ◽  
Dursun Saral ◽  
Murat Özkök ◽  
Ercan Köse
Keyword(s):  
Genetic Algorithm ◽  
Genetic Algorithms ◽  
Search Space ◽  
Cutting Process ◽  
Genetic Operators ◽  
Critical Stage ◽  
Different Types ◽  
Trim Loss ◽  
Pipe Systems

Outfitting is a critical stage in the shipbuilding process. Within the outfitting, the construction of pipe systems is a phase that has a significant effect on time and cost. While cutting the pipes required for the pipe systems in shipyards, the cutting process is usually performed randomly. This can result in large amounts of trim losses. In this paper, we present an approach to minimize these losses. With the proposed method it is aimed to base the pipe cutting process on a specific systematic. To solve this problem, Genetic Algorithms (GA), which gives successful results in solving many problems in the literature, have been used. Different types of genetic operators have been used to investigate the search space of the problem well. The results obtained have proven the effectiveness of the proposed approach.

Inflation expectations as a monetary policy tool

2021 ◽  
Vol 26 (2) ◽  
pp. 5-46
Author(s):  
Jin Ho Park ◽  
Jun Hee Kwak
Keyword(s):  
Monetary Policy ◽  
Inflation Expectations ◽  
Policy Tool
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