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Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to … control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show … that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with …
Persistent link: https://www.econbiz.de/10014247995
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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …
Persistent link: https://www.econbiz.de/10012496124
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Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys
Cheung, Yin-Wong - 1999
Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate …
Persistent link: https://www.econbiz.de/10012471881
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Inflation, War Bonds, and the Rise of Republicans in the 1950s
Brunet, Gillian; Hilt, Eric; Jaremski, Matthew S. - National Bureau of Economic Research - 2023
We study the role of war bonds and inflation in the presidential elections of the 1950s. During World War II, the … promotion of savings bonds made Americans more sensitive to the high inflation that prevailed after the war, contributing to …
Persistent link: https://www.econbiz.de/10014447290
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Improving GDP Measurement : A Forecast Combination Perspective
Aruoba, S. Boragan - 2011
Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...
Persistent link: https://www.econbiz.de/10012461237
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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong - 1997
, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10012472881
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Identifying Monetary Policy Shocks : A Natural Language Approach
Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024
We develop a novel method for the identification of monetary policy shocks. By applying natural language processing techniques to documents that Federal Reserve staff prepare in advance of policy decisions, we capture the Fed's information set. Using machine learning techniques, we then predict...
Persistent link: https://www.econbiz.de/10014544696
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Back to the 1980s or Not? : The Drivers of Inflation and Real Risks in Treasury Bonds
Pflueger, Carolin E. - National Bureau of Economic Research - 2023
, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that …
Persistent link: https://www.econbiz.de/10014226118
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Biased Surveys
Valchev, Rosen; Gemmi, Luca - National Bureau of Economic Research - 2023
We find evidence suggesting that surveys of professional forecasters are biased by strategic incentives. First, we find that individual forecasts overreact to idiosyncratic information but underreact to common information. Second, we show that this bias is not present in forecasts data that is...
Persistent link: https://www.econbiz.de/10014337840
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Risky Oil : It's All in the Tails
Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024
The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...
Persistent link: https://www.econbiz.de/10014544801