F532HW410 - (1953:01-1971:07), and to see how their results...

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UNIVERSITY OF ROCHESTER William E. Simon Graduate School of Business Administration FIN 532 Professor G. William Schwert Advanced Topics in Capital Markets Spring 2010 Home work Assignment #4 Due: May 19, 2010 Read the Nelson and Schwert American Economic Review paper on short-term interest rates as predictors of inflation. The Excel spreadsheet, F532HW410.XLSX, contains monthly CPI inflation (NSA and SA), PPI inflation, and interest rates for the period 1831:01-2010:02. Your assignment is to reproduce the major results in the Nelson and Schwert paper for their time period
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Unformatted text preview: (1953:01-1971:07), and to see how their results change using other sample periods and other price indices. Do you think that the seasonally adjusted data perform better or worse than the NSA data? Why? How would you predict the real rate of interest using the Nelson-Schwert approach? Plot and discuss the time series behavior of the (ex ante) real rate over the 1831-2009 period. You should write a short, concise report that includes a minimum of computer output. Show only what is necessary. You may use any computer program that you know how to use....
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