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Multi-sector inflation forecasting - quarterly models for South Africa
Aron, Janine; Muellbauer, John - Department of Economics, Oxford University - 2008
Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation.  Using a … novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates … policy, regulatory information and announced administred price rises, should further enhance these forecasting methods. …
Persistent link: https://www.econbiz.de/10011004341
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A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa
Aron, Janine; Muellbauer, John; Pretorius, Coen - Department of Economics, Oxford University - 2004
Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation …. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage … prices, over forecasting the overall consumer price index. …
Persistent link: https://www.econbiz.de/10010605285
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High Dimensional Yield Curves: Models and Forecasting
Bowsher, Clive; Meeks, Roland - Department of Economics, Oxford University - 2006
Functional Signal plus Noise (FSN) models are proposed for analysing the dynamics of a large cross-section of yields or asset prices in which contemporaneous observations are functionally related. The FSN models are used to forecast high dimensional yield curves for US Treasury bonds at the one...
Persistent link: https://www.econbiz.de/10010661419
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The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
Bowsher, Clive G.; Meeks, Roland - Department of Economics, Oxford University - 2008
The class of Functional Signal plus Noise (FSN) models is introduced that provides a new, general method for modelling and forecasting time series of economic functions.  The underlying, continuous economic function (or 'signal') is a natural cubic spline whose dynamic evolution is driven by a...
Persistent link: https://www.econbiz.de/10011004250
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Modelling and Forecasting UK Mortgage Arrears and Possessions
Aron, Janine; Muellbauer, John - Department of Economics, Oxford University - 2010
This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies).  The innovations include the treatment of difficuly to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...
Persistent link: https://www.econbiz.de/10008483763
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Factor High-Frequency Based Volatility (HEAVY) Models
Sheppard, Kevin - Department of Economics, Oxford University - 2014
 We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional...
Persistent link: https://www.econbiz.de/10011004389
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Some Issues in Modeling and Forecasting Inflation in South Africa
Aron, Janine - Department of Economics, Oxford University - 2009
producer price inflation suggest methodological lessons, and build on conflicting pressures on SA inflation from exchange rate … models for consumer price inflation underline the methodological points, and suggest the usefulness of thinking about …
Persistent link: https://www.econbiz.de/10011004415
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Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices
Bowdler, Christopher; Nielsen, Heino Bohn - Department of Economics, Oxford University - 2003
We analyse a cointegrated VAR comprising UK data on consumer prices, unit labour costs, import prices and real consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation of the system to one comprising inflation and relative...
Persistent link: https://www.econbiz.de/10010604928
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Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
Hendry, David; Chevillon, Guillaume - Department of Economics, Oxford University - 2004
We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified,...
Persistent link: https://www.econbiz.de/10005090632
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A Structural Model of the Inflation Process in South Africa
Aron, Janine; Muellbauer, John; Smit, Benjamin W. - Department of Economics, Oxford University - 2004
), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed …
Persistent link: https://www.econbiz.de/10010820301