Showing 1 - 10 of 163
Declining inflation persistence has been documented in numerous studies. When such series are analyzed in a regression …
Persistent link: https://www.econbiz.de/10010851252
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 benchmark models in forecasting inflation. Moreover, this evidence is … quite robust, and predictability is found also in the Great moderation period. The detected predictability of inflation by …
Persistent link: https://www.econbiz.de/10010945125
. 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 slowly moving nonstationary component and dynamic short …-run fluctuations around it. We fit the model to the monthly euro area, UK and US inflation series. An important feature of our model is …
Persistent link: https://www.econbiz.de/10005787545
simulator that yields the predictive distribution as a by-product. We apply the methods to postwar quarterly U.S. inflation and … future distribution of inflation over and above the own history of inflation, but not vice versa. This may be interpreted as … evidence against the new Keynesian model that implies Granger causality from inflation to GDP growth, provided GDP growth is a …
Persistent link: https://www.econbiz.de/10010851294
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 under-predicting inflation. Our model implies (i) biased forecasts; (ii) positive …
Persistent link: https://www.econbiz.de/10005114129
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 … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10005114135
In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...
Persistent link: https://www.econbiz.de/10005440036
Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH model’s ability fit daily equity return dynamics. Using the risk-neutralization in Duan (1995), we assess the option valuation performance of the Engle-Lee model and compare...
Persistent link: https://www.econbiz.de/10005440037
In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er...
Persistent link: https://www.econbiz.de/10005440038
The Pearson diffusions is a flexible class of diffusions defined by having linear drift and quadratic squared diffusion coefficient. It is demonstrated that for this class explicit statistical inference is feasible. Explicit optimal martingale estimating func- tions are found, and the...
Persistent link: https://www.econbiz.de/10005440039