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Oil prices, gasoline prices and inflation expectations : a new model and new facts
Kilian, Lutz; Zhou, Xiaoqing - 2020 - This version: August 11, 2020
The conventional wisdom that inflation expectations respond to the level of the price of oil (or the price of gasoline … price shocks may indeed drive one-year household inflation expectations. The model shows that there have been several such … episodes since 1990. In particular, the rise in household inflation expectations between 2009 and 2013 is almost entirely …
Persistent link: https://www.econbiz.de/10012263320
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UK natural gas : gas-specific or oil driven pricing?
Asche, Frank; Oglend, Atle; Osmundsen, Petter - 2013
In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...
Persistent link: https://www.econbiz.de/10010212645
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Expectations and speculation in the natural gas markets
Anderl, Christina; Caporale, Guglielmo Maria - 2024
This paper aims to assess the role of expectations as a determinant of the real price of natural gas. To measure expectations-driven speculative demand three approaches are followed, which are based respectively on using natural gas inventories consistently with the theory of storage (Kilian and...
Persistent link: https://www.econbiz.de/10015065319
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Sudden stop : supply and demand shocks in the German natural gas market
Güntner, Jochen; Reif, Magnus; Wolters, Maik H. - 2024
We use a structural VAR model to study the German natural gas market and investigate the impact of the 2022 Russian supply stop on the German economy. Combining conventional and narrative sign restrictions, we find that gas supply and demand shocks have large and persistent price effects, while...
Persistent link: https://www.econbiz.de/10014576948
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Forecasting inflation with a zero lower bound or negative interest rates : evidence from point and density forecasts
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …
Persistent link: https://www.econbiz.de/10013176885
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Forecast uncertainties in macroeconometric modelling : an application to the UK economy
Pesaran, M. Hashem - 2000
intervals. Probability forecasts relating to UK output growth and inflation, obtained using a small macroeconometric model, are … presented. We discuss in detail the probability that inflation will fall within the Bank of England's target range and that … insights on the interrelatedness of output growth and inflation outcomes at different horizons. …
Persistent link: https://www.econbiz.de/10009781626
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A rise by any other name? : sensitivity of growth regressions to data source
Hanousek, Jan (contributor); Hajkova, Dana (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499719
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A reappraisal of the border effect on relative price volatility
Cheung, Yin-Wong (contributor); Lai, Kon-sun (contributor) - 2006
Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect, this study shows that cross-country heterogeneity in price...
Persistent link: https://www.econbiz.de/10003300940
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Monetary policy and the relative price of durable goods
Cantelmo, Alessandro; Melina, Giovanni - 2015
In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...
Persistent link: https://www.econbiz.de/10010515460