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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

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

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

The impact of price adjustment costs on price dispersion in e-commerce

Böheim, René; Hackl, Franz; Hölzl-Leitner, Michael - 2019

We analyze price dispersion using panel data from a large price comparison site. We use past pricing behavior to instrument for potential endogeneity that might result from the selection of firms to certain product markets. We find that greater price adjustment costs result in greater price...

Persistent link: https://www.econbiz.de/10011973911

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

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

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

Cross-country relative price volatility : effects of market structure

Cheung, Yin-Wong (contributor); Fujii, Eiji (contributor) - 2005

Using annual data on nine manufacturing sectors of eighteen OECD countries, the article studies the implications of market structure for cross-country relative price variability. It is found that, in accordance with predictions from a standard markup pricing model, reductions in market...

Persistent link: https://www.econbiz.de/10002756347

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

A reappraisal of the border effect on relative price volatility

Cheung, Yin-Wong (contributor); Lai, Kon S. (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