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An empirical assessment of the U.S. Phillips curve over time
Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021
the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years. …
Persistent link: https://www.econbiz.de/10012665848
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Posterior-predictive evidence on US inflation using Philips curve models with non-filtered time series
Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013
Persistent link: https://www.econbiz.de/10009724100
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Posterior-predictive evidence on US inflation using extended Philips curve models with non-filtered data
Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013
Persistent link: https://www.econbiz.de/10010191387
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …
Persistent link: https://www.econbiz.de/10011809984
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Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011377110
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
, inflation, and bond spread. We empirically identify a time-varying linkage between economic and financial variables which are … effects of financial shocks on output and inflation during crisis and non-crisis periods. …
Persistent link: https://www.econbiz.de/10012591572
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What are the effects of monetary policy shocks? : evidence from dollarized countries
Willems, Tim - 2010
Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these...
Persistent link: https://www.econbiz.de/10011382001
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Identifying US monetary policy shocks through sign restrictions in dollarized countries
Gobbi, Alessandro; Willems, Tim - 2011
Persistent link: https://www.econbiz.de/10010191084
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 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 … 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/10011373822
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10011327834