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The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico
Ramos, Carlos A. Rodríguez - EconWPA - 2003
In this work the P* model is used to analyze and forecast the inflation rate in the economy of Puerto Rico. This model is based on two essential points: the first one is to identify the inflationary potential of an economic system through the estimation of the price level to which the inflation...
Persistent link: https://www.econbiz.de/10005556397
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A Framework for Forecasting the Components of the Consumer Price
Aron, Janine; Muellbauer, John; Pretorius, Coen - EconWPA - 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 interest rates, or CPIX) for South Africa are modeled separately...
Persistent link: https://www.econbiz.de/10005062419
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From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
Denzler, Stefan; Dacorogna, Michel M.; Mueller, Ulrich A.; … - EconWPA - 2005
Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....
Persistent link: https://www.econbiz.de/10005077017
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Information, Alternative Markets, and Security Price Processes: A Survey of Literature
Bhuyan, Rafiqul - EconWPA - 2002
In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of...
Persistent link: https://www.econbiz.de/10005413117
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Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005
inverse persistence term structure in the sense that the short term interest rates show the highest persistence, while the … long term rates are closer to the GBM's neutral persistence. The simulations of the identified MMAR are compared with the …
Persistent link: https://www.econbiz.de/10005077018
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Economia sintetica
Vildosola, Luis - EconWPA - 1998
Theoretical study identifying one modality with conditions necesary for the financial stabilization of an inherently unstable system; and 5040 other unstable dynamic modes. It draws on knowledge made available by the academic field of Control Engineering.
Persistent link: https://www.econbiz.de/10005125628
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A Structural Model of the Inflation Process in South Africa
Aron, Janine; Muellbauer, John; Smit, Benjamin - EconWPA - 2004
We build a 4-equation model of the inflation process in South Africa (which has recently adopted inflation targeting), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed and extent of exchange rate pass- through, and...
Persistent link: https://www.econbiz.de/10005556034
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Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption
Kostov, Philip; Lingard, John - EconWPA - 2004
The standard Vector Error Correction Model (VECM) approach to investigating the underlying dynamics of economic variables assumes a constant co-integration space. This paper relaxes this assumption by implementing a regime switching VECM that allows for shifts in both the drift and the long-run...
Persistent link: https://www.econbiz.de/10005556387
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Non-stationarities in stock returns
Starica, Catalin; Granger, Clive - EconWPA - 2004
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...
Persistent link: https://www.econbiz.de/10005119176
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Measurement of Financial Risk Persistence
Los, Cornelis A. - EconWPA - 2005
This paper discusses various ways of measuring the persistence or Long Memory (LM) of financial market risk in both its … available in various scientific disciplines to measure the LM persistence of time seies. It also discusses why Markov- and (G …)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …
Persistent link: https://www.econbiz.de/10005561591