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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

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

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

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

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

On the Invertibility of EGARCH

Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2014

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...

Persistent link: https://www.econbiz.de/10011272590

On the Invertibility of EGARCH(p,q)

Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2015

Persistent link: https://www.econbiz.de/10011272596

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - Tinbergen Instituut - 2014

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10011272605

Modeling Trigonometric Seasonal Components for Monthly Economic Time Series

Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - Tinbergen Instituut - 2010

This discussion paper led to an article in Applied Economics (2013). Vol. 45, pages 3024-3034. The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time...

Persistent link: https://www.econbiz.de/10011255517

Growth and Inequality: A Meta-Analysis

Dominicis, Laura de; Groot, Henri L.F. de; Florax, … - Tinbergen Instituut - 2006

In recent years there has been a growing interest in the impact of inequality on economic growth. Both theoretical and empirical approaches have produced ambiguous results on sign and size of this relationship. Although there is a considerable part of the literature that considers inequality...

Persistent link: https://www.econbiz.de/10011255579