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Changes in persistence, spurious regressions and the Fisher hypothesis
Kruse, Robinson; Ventosa-Santaulària, Daniel; Noriega, … - School of Economics and Management, University of Aarhus - 2013
test to the Fisher equation for the U.S. and Mexico. Contrary to a rejection using cointegration techniques, the R2-based …
Persistent link: https://www.econbiz.de/10010851252
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Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?
Lanne, Markku; Luoto, Jani; Nyberg, Henri - School of Economics and Management, University of Aarhus - 2014
We propose a new simple model incorporating the implication of the quantity theory of money that money growth and inflation should move one for one in the long run, and, hence, inflation should be predictable by money growth. The model fits postwar U.S. data well, and beats common univariate...
Persistent link: https://www.econbiz.de/10010945125
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2009
In this work, we make use of the shifting-mean autoregressive model which is a flexible univariate nonstationary model. It is suitable for describing characteristic features in inflation series as well as for medium-term forecasting. With this model we decompose the inflation process into a...
Persistent link: https://www.econbiz.de/10005787545
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014
(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …
Persistent link: https://www.econbiz.de/10010940883
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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Oil Volatility Risk and Expected Stock Returns
Christoffersen, Peter; Xuhui (Nick) Pan - School of Economics and Management, University of Aarhus - 2014
After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...
Persistent link: https://www.econbiz.de/10011145697
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Factor Structure in Commodity Futures Return and Volatility
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...
Persistent link: https://www.econbiz.de/10010892067
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Noncausal Bayesian Vector Autoregression
Lanne, Markku; Luoto, Jani - School of Economics and Management, University of Aarhus - 2014
We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution as...
Persistent link: https://www.econbiz.de/10010851294
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Disagreement and Biases in Inflation Expectations
Capistrán, Carlos; Timmermann, Allan - School of Economics and Management, University of Aarhus - 2008
Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries in the forecasters’ costs of over- and...
Persistent link: https://www.econbiz.de/10005114129
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - School of Economics and Management, University of Aarhus - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10005114135