Empirical Studies in Demography and Macroeconomics
Sammanfattning: Essay 1 examines the age-structure effects on Swedish inflation both within sample and out-of-sample. Within sample, time-series regressions indicate age structure to have significant explanatory power on Swedish inflation. The relative age-structure effects are well in accordance with both the life-cycle hypothesis and the Phillips-Okun relationship. In the forecasting exercise, the age models outperform the estimated benchmarks; i.e. two autoregressive models, an ARIMA and the two-per cent forecast corresponding to the inflation target. The age models are also considerably better than the consensus forecasts and they are equal in merit to a general VAR model that has been used by the Bank of Sweden. Essay 2 contributes to the existing literature in several ways. It is the first study emphasizing the importance of age-structure effects on real exchange rates within the class of fundamental-based models and it is also among the first examining age-structure effects on real exchange rates in general. In particular, age structure is hypothesized to be related to real exchange rates mainly via its effects on the current account. The estimated reduced-form models strongly support this view.Essay 3 tests the one-for-one relationship between inflation and nominal interest rates -- the strong version of the Fisher Hypothesis -- on an OECD panel. In contrast to previous studies on the Fisher Hypothesis, testing is carried out in a panel context. Exploring the panel dimension, the power and efficiency of the tests for unit roots and cointegration are increased. Furthermore, panel tests are especially well suited when the sample period is relatively short, but where links or similarities across countries are present. Utilizing this property of the panel tests, it is examined whether the evidence in favor of the Fisher Hypothesis is stronger when markets are deregulated.
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