I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

The study aims to calculate Egypt’s real effective exchange rate at both the bilateral and multilateral levels, estimates the effect of real cross-rate movements on trade in goods and services and on foreign direct investment, and determines the fundamental equilibrium exchange rate for...

The present macroeconomic model aims to provide a theory-consistent representation of the general structure of the Viet Nam economy and, as such, it offers real and financial sector forecasting and policy simulation capabilities targeted to the needs of the State Bank of Viet Nam. The model...

The transition process of the Romanian economy motivated the design of a model that provides for a parsimonious representation of the structure of the economy, exploits the increased availability of data for the system of national accounts, and recognizes time-variant parameters that can result...

The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...