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Behavioral Heterogeneity in U.S. Inflation Dynamics
Cornea, Adriana; Hommes, Cars; Massaro, Domenico - Tinbergen Instituut - 2013
In this paper we develop and estimate a behavioral model of inflation dynamics with monopolistic competition, staggered … naive. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation … forecast future inflation. Agents are allowed to switch between these different forecasting strategies conditional on their …
Persistent link: https://www.econbiz.de/10011256332
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Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Instituut - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011257593
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10011255780
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Regional Price Adjustment in a Monetary Union
Berk, Jan Marc; Swank, Job - Tinbergen Instituut - 2002
, notwithstanding that inflation in some countries tends to converge towards the euro area level. Overa11, inflation persistence has …
Persistent link: https://www.econbiz.de/10011256191
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Pensions, Debt and Inflation Risk in a Monetary Union
Adema, Yvonne - Tinbergen Instituut - 2010
This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …
Persistent link: https://www.econbiz.de/10011257504
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Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis
Anglingkusumo, Reza - Tinbergen Instituut - 2005
crisis is empirically examined. The standard model for themonetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation inIndonesia remarkably weIl. Hence, there is an empirical support for the assertion that …
Persistent link: https://www.econbiz.de/10011257626
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Large Swings in Currencies driven by Fundamentals
Cumperayot, Phornchanok; Vries, Casper G. de - Tinbergen Instituut - 2006
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...
Persistent link: https://www.econbiz.de/10011255570
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Price Discovery on Foreign Exchange Markets with Differentially Informed Traders
Jong, Frank de; Mahieu, Ronald; Schotman, Peter; … - Tinbergen Instituut - 1999
This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...
Persistent link: https://www.econbiz.de/10011255752
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The Euro Introduction and Non-Euro Currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Instituut - 2005
This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>
Persistent link: https://www.econbiz.de/10011255883
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The Forward Premium Puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Instituut - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011256149