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Effects of Transitory Shocks to Aggregate Output on Consumption in Poor Countries
Brückner, Markus; Gradstein, Mark - C.E.P.R. Discussion Papers - 2013
This paper provides instrumental variables estimates of the response of aggregate private consumption to transitory … transitory shocks to aggregate output on private consumption in poor countries. …
Persistent link: https://www.econbiz.de/10011083244
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Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...
Persistent link: https://www.econbiz.de/10008553067
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Exchange Rate Pass-through and Monetary Policy in South Africa
Aron, Janine; Farrell, Greg; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2010
Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This paper examines exchange rate passthrough to the monthly import price index in South Africa during 1980-2009. A methodological innovation allows various short-run...
Persistent link: https://www.econbiz.de/10008784768
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Residual-based Rank Specification Tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013
This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...
Persistent link: https://www.econbiz.de/10011084012
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Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
This Paper uses restrictions implied by cointegration to identify the permanent and transitory elements (the ‘trend … consumption adapt with a lag to permanent movements in wealth? Despite their quantitative importance, transitory fluctuations in … asset values are found to be unrelated to aggregate consumer spending. Instead, aggregate consumption can be well described …
Persistent link: https://www.econbiz.de/10005792097
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Wealth, Credit Conditions and Consumption: Evidence from South Africa
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2012
There is widespread disagreement about the role of housing wealth in explaining consumption. This paper exploits liquid …, to explain fluctuations in the ratios of consumption and household debt to income in South Africa, from 1971 to 2005. The … variable with key interactions with drivers of consumption and debt. Credit conditions are proxied by a spline function …
Persistent link: https://www.econbiz.de/10011084339
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New methods for forecasting inflation, applied to the US.
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator, are estimated for 1974-99 and subsequent pseudo out-of-sample forecasting performance is examined. Alternative forecasting approaches for different information sets are compared...
Persistent link: https://www.econbiz.de/10008468684
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Some Issues in Modeling and Forecasting Inflation in South Africa
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2009
Inflation targeting central banks will be hampered without good models to assist them to be forward-looking. Many current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The world is on the cusp of a dramatic turning point in...
Persistent link: https://www.econbiz.de/10005123809
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Factor Forecasts for the UK
Artis, Michael J; Banerjee, Anindya; Marcellino, … - C.E.P.R. Discussion Papers - 2002
Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only univariate or small-scale multivariate models are considered. Yet, data...
Persistent link: https://www.econbiz.de/10005661430
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Bayesian Analysis of DSGE Models
An, Sungbae; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2005
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons,...
Persistent link: https://www.econbiz.de/10005498080