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A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation
Lanne, Markku; Luoto, Jani - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...
Persistent link: https://www.econbiz.de/10010632795
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Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of …
Persistent link: https://www.econbiz.de/10010632797
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Google Searches as a Means of Improving the Nowcasts of Key Macroeconomic Variables
Kholodilin, Konstantin A.; Podstawski, Maximilian; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
The Google Insights data are a collection of recorded Internet searches for a huge number of the keywords, which are available since January 2004. These searches represent a kind of revealed perceptions of Internet users, which are a (possibly not entirely representative) sample of the general...
Persistent link: https://www.econbiz.de/10008549317
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Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US
Kholodilin, Konstantin A.; Podstawski, Maximilian; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the...
Persistent link: https://www.econbiz.de/10008565836
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Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
Caporale, Guglielmo Maria; Skare, Marinko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
volatility (d = 0.80) is also confirmed. …
Persistent link: https://www.econbiz.de/10010786996
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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …
Persistent link: https://www.econbiz.de/10008855329
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Has Stock Markets' Reaction to Terrorist Attacks Changed throughout Time?: Comparative Evidence from a Large and a Small Capitalisation Market
Kollias, Christos; Manou, Efthalia; Papadamou, Stephanos; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
investigation. Results from event study methodology as well as from conditional volatility models used here do no seem to point to …
Persistent link: https://www.econbiz.de/10008694990
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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10008636400
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Benefit Duration, Unemployment Duration and Job Match Quality: A Regression-Discontinuity Approach
Caliendo, Marco; Tatsiramos, Konstantinos; Uhlendorff, Arne - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
The generosity of the Unemployment Insurance system (UI) plays a central role for the job search behavior of unemployed individuals. Standard search theory predicts that an increase in UI benefit generosity, either in terms of benefit duration or entitlement, has a negative impact on the job...
Persistent link: https://www.econbiz.de/10008561061
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Unemployment Dynamics among Migrants and Natives
Uhlendorff, Arne; Zimmermann, Klaus F. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006
Unemployment rates are often higher for migrants than for natives. This could result from longer periods of unemployment as well as from shorter periods of employment. This paper jointly examines male native-migrant differences in the duration of unemployment and subsequent employment using...
Persistent link: https://www.econbiz.de/10004963811