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π1 = ( P2 − P1)/ P1 π1 = ∆P1/ P1
Macroeconomics Chapter 11
12
Inflation and Interest Rates
Actual and Expected Inflation
π1 = ( P2 − P1)/ P1 π1 = ∆P1/ P1 π1 ·P1 = P2 − P1
Macroeconomics Chapter 11
9
Cross-Country Data on Inflation and Money Growth
Macroeconomics Chapter 11
10
Cross-Country Data on Inflation and Money Growth
(dollar assets in year2/P2 )= (dollar assets in year1/P1) · (1+i1)/(1+π1)
real assets in year2 = (real assets in year1) ·(1+i1)/(1+π1)
Macroeconomics Chapter 11
Macroeconomics Chapter 11
8
Cross-Country Data on Inflation and Money Growth
Highlights
In most countries, the growth rate of nominal currency, M, exceeded the growth rate of prices.
Macroeconomics Chapter 11
16
Inflation and Interest Rates
Macroeconomics Chapter 11
17
Inflation and Interest Rates
Real and Nominal Interest Rates
The Real interest rate to be the rate at which the real value of assets held as bonds changes over time.
Macroeconomics Chapter 11
23
Inflation and Interest Rates
Actual and Expected Real Interest Rates
The expected inflation rate determines the expected real interest rate, ret
For a country that has a high inflation rate in one period to have a high inflation rate in another period.
Strong positive association between the inflation rate and the growth rate of nominal currency.
dollar assets in year2 = ( dollar assets in year1)·(1+ i1)
P2 = P1 ·( 1 + π1)
Macroeconomics Chapter 11
18
Inflation and Interest Rates
Real and Nominal Interest Rates
Macroeconomics Chapter 11
14
Inflation and Interest Rates
Actual and Expected Inflation
Households try to keep the errors as small as possible. Therefore, they use available information on past inflation and other variables to avoid systematic mistakes.
Highlights
The inflation rate was greater than 0 for all countries from 1960 to 2000
The growth rate of nominal currency was greater than 0 for all countries from 1960 to 2000.
ret = it − πet
expected real interest rate= nominal interest rate − expected inflation rate
19
Inflation and Interest Rates
Real and Nominal Interest Rates
Since the real interest rate, denoted by r1, is the rate at which assets held as bonds change in real value:
The dollar value of assets held as bonds rises over the year by the factor 1 + i1. The interest rate i1 is the dollar or nominal interest rate because i1 determines the change over time in the nominal value of assets held as bonds.
P2 = ( 1 +π1) ·P1
Macroeconomics Chapter 11
13
Inflation and Interest Rates
Actual and Expected Inflation
Since the future is unknown, households have to form forecasts or expectations of inflation.
There is a broad cross-sectional range for the inflation rates and the growth rates of money.
Macroeconomics Chapter 11
7
Cross-Country Data on Inflation and Money Growth
Inflation rates and money growth rates for 82 countries from 1960 to 2000.
We measure the price level, P, by the consumer price index (CPI). We use the CPI, rather than the GDP deflator, because of data availability.
One lesson from the cross-country data is that, to understand inflation, we have to include money growth as a central part of the analysis.
Milton Friedman’s famous dictum:
Chapter11
Inflation, Money Growth, and Interest Rates
Macroeconomics Chapter 11
1
Cross-Country Data on Inflation and Money Growth Key equation: Ms = P·L(Y, i)
“Inflation is always and everywhere a monetary phenomenon.”
Macroeconomics Chapter 11
11
Inflation and Interest Rates
Actual and Expected Inflation
Let π be the inflation rate. The inflation rate from year 1 to year 2, π1, is the ratio of the change in the price level to the initial price level.
Expectations formed this way are called rational expectations.
Macroeconomics Βιβλιοθήκη Baiduhapter 11
15
Inflation and Interest Rates
Real and Nominal Interest Rates
Macroeconomics Chapter 11
3
Macroeconomics Chapter 11
4
Macroeconomics Chapter 11
5
Macroeconomics Chapter 11
6
Cross-Country Data on Inflation and Money Growth
Two possible reasons of inflation:
Decrease of real demand for money Increase of money supply
Macroeconomics Chapter 11
2
Cross-Country Data on Inflation and Money Growth
Highlights
The median inflation rate from 1960 to 2000 was 8.3% per year, with 30 countries exceeding 10%.
For the growth rate of nominal currency, the median was 11.6% per year, with 50 above 10%
Denote by πe1 the expectation of the inflation rate π1.
The actual inflation rate, π1, will usually deviate from its expectation, πe1, and the forecast error—or unexpected inflation—will be nonzero.
real interest rate= nominal interest rate− inflation rate
r1 = i1 − π1
Macroeconomics Chapter 11
21
Inflation and Interest Rates
Fisher Equation
i = r +π
(1+r1) = (1+i1)/(1+π1)
Macroeconomics Chapter 11
20
Inflation and Interest Rates
Real and Nominal Interest Rates
r1 = i1 − π1 − r1·π1
the cross term, r1 ·π1, which tends to be small;
Fisher Effect i
π
Macroeconomics Chapter 11
22
Inflation and Interest Rates
The Real Interest Rate and Intertemporal Substitution
When the inflation rate, π, is not zero, it is the real interest rate, r, rather than the nominal rate, i, that matters for intertemporal substitution.
Macroeconomics Chapter 11
12
Inflation and Interest Rates
Actual and Expected Inflation
π1 = ( P2 − P1)/ P1 π1 = ∆P1/ P1 π1 ·P1 = P2 − P1
Macroeconomics Chapter 11
9
Cross-Country Data on Inflation and Money Growth
Macroeconomics Chapter 11
10
Cross-Country Data on Inflation and Money Growth
(dollar assets in year2/P2 )= (dollar assets in year1/P1) · (1+i1)/(1+π1)
real assets in year2 = (real assets in year1) ·(1+i1)/(1+π1)
Macroeconomics Chapter 11
Macroeconomics Chapter 11
8
Cross-Country Data on Inflation and Money Growth
Highlights
In most countries, the growth rate of nominal currency, M, exceeded the growth rate of prices.
Macroeconomics Chapter 11
16
Inflation and Interest Rates
Macroeconomics Chapter 11
17
Inflation and Interest Rates
Real and Nominal Interest Rates
The Real interest rate to be the rate at which the real value of assets held as bonds changes over time.
Macroeconomics Chapter 11
23
Inflation and Interest Rates
Actual and Expected Real Interest Rates
The expected inflation rate determines the expected real interest rate, ret
For a country that has a high inflation rate in one period to have a high inflation rate in another period.
Strong positive association between the inflation rate and the growth rate of nominal currency.
dollar assets in year2 = ( dollar assets in year1)·(1+ i1)
P2 = P1 ·( 1 + π1)
Macroeconomics Chapter 11
18
Inflation and Interest Rates
Real and Nominal Interest Rates
Macroeconomics Chapter 11
14
Inflation and Interest Rates
Actual and Expected Inflation
Households try to keep the errors as small as possible. Therefore, they use available information on past inflation and other variables to avoid systematic mistakes.
Highlights
The inflation rate was greater than 0 for all countries from 1960 to 2000
The growth rate of nominal currency was greater than 0 for all countries from 1960 to 2000.
ret = it − πet
expected real interest rate= nominal interest rate − expected inflation rate
19
Inflation and Interest Rates
Real and Nominal Interest Rates
Since the real interest rate, denoted by r1, is the rate at which assets held as bonds change in real value:
The dollar value of assets held as bonds rises over the year by the factor 1 + i1. The interest rate i1 is the dollar or nominal interest rate because i1 determines the change over time in the nominal value of assets held as bonds.
P2 = ( 1 +π1) ·P1
Macroeconomics Chapter 11
13
Inflation and Interest Rates
Actual and Expected Inflation
Since the future is unknown, households have to form forecasts or expectations of inflation.
There is a broad cross-sectional range for the inflation rates and the growth rates of money.
Macroeconomics Chapter 11
7
Cross-Country Data on Inflation and Money Growth
Inflation rates and money growth rates for 82 countries from 1960 to 2000.
We measure the price level, P, by the consumer price index (CPI). We use the CPI, rather than the GDP deflator, because of data availability.
One lesson from the cross-country data is that, to understand inflation, we have to include money growth as a central part of the analysis.
Milton Friedman’s famous dictum:
Chapter11
Inflation, Money Growth, and Interest Rates
Macroeconomics Chapter 11
1
Cross-Country Data on Inflation and Money Growth Key equation: Ms = P·L(Y, i)
“Inflation is always and everywhere a monetary phenomenon.”
Macroeconomics Chapter 11
11
Inflation and Interest Rates
Actual and Expected Inflation
Let π be the inflation rate. The inflation rate from year 1 to year 2, π1, is the ratio of the change in the price level to the initial price level.
Expectations formed this way are called rational expectations.
Macroeconomics Βιβλιοθήκη Baiduhapter 11
15
Inflation and Interest Rates
Real and Nominal Interest Rates
Macroeconomics Chapter 11
3
Macroeconomics Chapter 11
4
Macroeconomics Chapter 11
5
Macroeconomics Chapter 11
6
Cross-Country Data on Inflation and Money Growth
Two possible reasons of inflation:
Decrease of real demand for money Increase of money supply
Macroeconomics Chapter 11
2
Cross-Country Data on Inflation and Money Growth
Highlights
The median inflation rate from 1960 to 2000 was 8.3% per year, with 30 countries exceeding 10%.
For the growth rate of nominal currency, the median was 11.6% per year, with 50 above 10%
Denote by πe1 the expectation of the inflation rate π1.
The actual inflation rate, π1, will usually deviate from its expectation, πe1, and the forecast error—or unexpected inflation—will be nonzero.
real interest rate= nominal interest rate− inflation rate
r1 = i1 − π1
Macroeconomics Chapter 11
21
Inflation and Interest Rates
Fisher Equation
i = r +π
(1+r1) = (1+i1)/(1+π1)
Macroeconomics Chapter 11
20
Inflation and Interest Rates
Real and Nominal Interest Rates
r1 = i1 − π1 − r1·π1
the cross term, r1 ·π1, which tends to be small;
Fisher Effect i
π
Macroeconomics Chapter 11
22
Inflation and Interest Rates
The Real Interest Rate and Intertemporal Substitution
When the inflation rate, π, is not zero, it is the real interest rate, r, rather than the nominal rate, i, that matters for intertemporal substitution.