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Measuring core inflation in South Africa
Du Plessis, Stan; Du Rand, Gideon; Kotzé, Kevin - In: The South African journal of economics 83 (2015) 4, pp. 527-548
Persistent link: https://www.econbiz.de/10011441916
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Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
index and to evaluate the role of financial variables in forecasting. We considered two models which allow forecasting based … univariate methods for forecasting inflation at one, three, six, and twelve months and industrial production at one and three … months. We find that financial variables do help forecasting inflation, but do not help forecasting industrial production. …
Persistent link: https://www.econbiz.de/10005789173
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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …
Persistent link: https://www.econbiz.de/10005661541
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Forecasting with Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010
latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …
Persistent link: https://www.econbiz.de/10008468646
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Dynamic factor models: A review of the literature
Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent - In: OECD Journal: Journal of Business Cycle Measurement and … 2013 (2013) 2, pp. 73-107
In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid...
Persistent link: https://www.econbiz.de/10010903580
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Relative Goods’ Prices and Pure Inflation
Reis, Ricardo; Watson, Mark W - C.E.P.R. Discussion Papers - 2007
This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of “pure”...
Persistent link: https://www.econbiz.de/10005067604
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ESTIMATING OUTPUT GAP, CORE INFLATION, AND THE NAIRU FOR PERU, 1979-2007
RODRIGUEZ, Gabriel - In: Applied Econometrics and International Development 10 (2010) 1
Following Doménech and Gómez (2006), and using quarterly Peruvian data for 1970:1-2007:4, I estimate a model that exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non-observable variables as output gap, the NAIRU and the core...
Persistent link: https://www.econbiz.de/10008468252
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A common trends model of UK core inflation
Bagliano, Fabio C.; Morana, Claudio - In: Empirical Economics 28 (2003) 1, pp. 157-172
In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961–1997 period is estimated within the framework of a multivariate common trends model which extends the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked...
Persistent link: https://www.econbiz.de/10005613034
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A New Core Inflation Indicator for New Zealand
Giannone, Domenico; Matheson, Troy - C.E.P.R. Discussion Papers - 2007
This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate consumer price data. Using disaggregate consumer price data we can directly compare the predictive performance of our core indicator with a wide range of other ‘core...
Persistent link: https://www.econbiz.de/10005656226
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The Concept, Policy Use and Measurement of Structural Unemployment : Estimating a Time Varying NAIRU Across 21 OECD Countries
Richardson, Pete; Boone, Laurence; Giorno, Claude; … - 2000
The structural rate of unemployment and associated non-accelerating inflation rate of unemployment (the NAIRU) are of major importance to the analysis of macro and structural economic developments, although in practice these concepts are not well defined and there is considerable uncertainty and...
Persistent link: https://www.econbiz.de/10012444864