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Using a recently introduced nonparametric test, I investigate two important and distinct asymmetries in cross-country quarterly macroeconomic time series. Asymmetries are suggested by many theories (old and new), and those discovered aid in the selection of the appropriate nonlinear time series...
Persistent link: https://www.econbiz.de/10005412800
Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation …, allowing sectoral sources of inflation to be identified. Aggregating the forecasts of the components with appropriate weights …
Persistent link: https://www.econbiz.de/10005062419
This paper discusses the econometric model of inflation processes in the Republic of Belarus which makes it possible to …
Persistent link: https://www.econbiz.de/10005561160
the Survey of Professional Forecasters, we show that the ability of predicting several measures of inflation and real …
Persistent link: https://www.econbiz.de/10005076800
This paper models an inflation forecast density framework that closely resembles actual policy makers behaviour … regarding the determination of the modal point, the uncertainty and asymmetry in the inflation forecasts. The framework combines …
Persistent link: https://www.econbiz.de/10005556367
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with …. While average output and inflation result the same as under rational expectations, higher moments differ substantially …: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of …
Persistent link: https://www.econbiz.de/10005126229
modest short-run output gains, greater excess demand pressures, noticeably higher CPI inflation rates over the whole of the …
Persistent link: https://www.econbiz.de/10005412749
This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary...
Persistent link: https://www.econbiz.de/10005126142
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...
Persistent link: https://www.econbiz.de/10005134650