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On the Persistence of UK Inflation : A Long-Range Dependence Approach

Caporale, Guglielmo Maria - 2018

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively …-Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks …

Persistent link: https://www.econbiz.de/10012917992

The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank

Kirchgässner, Gebhard - 2013

quantity of money and or excess money can be used to forecast inflation. After a preliminary data analysis, money demand …. Using recursive estimates, indicator properties of monetary aggregates for inflation are assessed for the period from 2000 … the one for M2 is strongly influenced by these three observations. While in both cases forecasts for 2010 show inflation …

Persistent link: https://www.econbiz.de/10013095154

Unraveling the Fortunates of the Fortunate : An Iterative Bayesian Model Averaging (IBMA) Approach

Eicher, Theo S. - 2007

We investigate country heterogeneity in cross-country growth regressions. In contrast to the previous literature that focuses on low-income countries, this study also highlights growth determinants in high-income (OECD) countries. We introduce Iterative Bayesian Model Averaging (IBMA) to address...

Persistent link: https://www.econbiz.de/10012777687

Jointness of Growth Determinants

Doppelhofer, Gernot; Weeks, Melvyn - 2021

This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...

Persistent link: https://www.econbiz.de/10013317072

Point and Density Forecasts for the Euro Area Using Bayesian VARs

Berg, Tim Oliver - 2014

accuracy for euro area real GDP growth and HICP inflation. We consider BVAR averaging, Bayesian factor augmented VARs (BFAVARs … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …

Persistent link: https://www.econbiz.de/10013055383

Assessing Forecast Uncertainties in a VECX Model for Switzerland : An Exercise in Forecast Combination Across Models and Observation Windows

Assenmacher, Katrin - 2009

We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models....

Persistent link: https://www.econbiz.de/10012766904

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

techniques are applied to monthly inflation series of 21 OECD countries and it is found that average forecasting methods in …

Persistent link: https://www.econbiz.de/10012756639

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2015

concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to … which ‘observed' inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our … persistence of the aggregate inflation …

Persistent link: https://www.econbiz.de/10013038262

Inflation Expectations and Inflation Uncertainty in the Eurozone : Evidence from Survey Data

Arnold, Ivo J. M. - 2013

This paper uses the European Commission's Consumer Survey to assess whether inflation expectations have converged and … whether inflation uncertainty has diminished following the introduction of the Euro in Europe. Consumers' responses to the … survey suggest that inflation expectations depend more on past national inflation rates than on the ECB's anchor for price …

Persistent link: https://www.econbiz.de/10012754359

Catching-Up and Inflation in Europe : Balassa-Samuelson, Engel's Law and Other Culprits

Égert, Balázs - 2013

This study analyses the impact of economic catching-up on annual inflation rates in the European Union with a special … Balassa-Samuelson effect is not an important driver of inflation rates. By contrast, we find that the initial price level and … regulated prices strongly affect inflation outcomes in a nonlinear manner and that the extension of Engel's Law may hold during …

Persistent link: https://www.econbiz.de/10013094566