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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 … prices, over forecasting the overall consumer price index. …
Persistent link: https://www.econbiz.de/10005062419
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(Un)Predictability and Macroeconomic Stability
D'Agostino, Antonello; Giannone, Domenico; Surico, Paolo - EconWPA - 2005
This paper documents a new stylized fact of the U.S. greater macroeconomic stability of the last two decades or so. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Green book and the Survey of Professional Forecasters, we show that the...
Persistent link: https://www.econbiz.de/10005076800
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Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship
Hill, Jonathan B. - EconWPA - 2004
price of oil, the unemployment rate and the spread between the Treasury bill and commercial paper rates as auxiliary …
Persistent link: https://www.econbiz.de/10005561203
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Model-Free Impulse Responses
Jorda, Oscar - EconWPA - 2004
This paper introduces methods for computing impulse response functions that do not require specification and estimation of the unknown dynamic multivariate system itself. The central idea behind these methods is to estimate flexible local projections at each period of interest rather than...
Persistent link: https://www.econbiz.de/10005561317
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A VECTOR ERROR CORRECTION AND NONNESTED MODELLING OF MONEY DEMAND FUNCTION IN NIGERIA
Nwaobi, Godwin - EconWPA - 2001
This paper examines the stability of the demand for money in nigeria. With relatively simple model specifying a vector valued autoregressive process(VAR), the hypothesis of the existence of cointegration vectors is formulated as the hypothesis of reduced rank of the longrun impact matrix. This...
Persistent link: https://www.econbiz.de/10005119093
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The Portuguese Disinflation Process: Analysis of Some Costs and Benefits
Duarte, António Portugal - EconWPA - 2005
exchange and European price levels. The study was based on the attainment of co-integrating relations using Johansen … price stability. However, despite the credibility and stability gains obtained, the adoption of a disinflation policy led to … rate can have on GDP and price levels. It cannot be denied that Portugal has made great progress in its European …
Persistent link: https://www.econbiz.de/10005556600
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Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach
Silva, Ricardo Gonçalves; Andrade, Marinho Gomes; … - EconWPA - 2004
The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (MASAR) models, by the Generalized Method of...
Persistent link: https://www.econbiz.de/10005407874
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A Structural Model of the Inflation Process in South Africa
Aron, Janine; Muellbauer, John; Smit, Benjamin - EconWPA - 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/10005556034
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What causes the forecasting failure of Markov-Switching models? A Monte Carlo study
Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005
This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying...
Persistent link: https://www.econbiz.de/10005556398
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Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited
Hill, Jonathan B. - EconWPA - 2004
In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...
Persistent link: https://www.econbiz.de/10005119144