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Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
Hendry, David F.; Hubrich, Kirstin - 2010
theoretical predictions and simulations are corroborated when forecasting aggregate US inflation pre- and post 1984 using …
Persistent link: https://www.econbiz.de/10011605201
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Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
Hendry, David F. - 2010
theoretical predictions and simulations are corroborated when forecasting aggregate US inflation pre- and post 1984 using …
Persistent link: https://www.econbiz.de/10013147953
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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita; Marques, Carlos Robalo - 2009
) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural … model, as well as the cointegrating properties of the estimated system. Overall, in the long run, wage and price inflation …
Persistent link: https://www.econbiz.de/10011605113
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Wage and Price Dynamics in Portugal
Robalo Marques, Carlos - 2009
system. Real wages and wage inflation emerge as especially persistent following an import price shock, while price inflation …
Persistent link: https://www.econbiz.de/10012766215
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Modelling inflation in the euro area
Jansen, Eilev S. - 2004
The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost … growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation …. There is, however, some support in favour of the (reduced form) AWM inflation equation. It is the only model that …
Persistent link: https://www.econbiz.de/10011604368
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Forecast Combination for Euro Area Inflation : A Cure in Times of Crisis?
Hubrich, Kirstin - 2017
The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether … for HICP headline inflation and HICP excluding food and energy. We investigate how forecast accuracy of the combination … including the global financial crisis with its extraordinary volatility in inflation. Overall, we find that forecast combination …
Persistent link: https://www.econbiz.de/10012965542
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Price dividend ratio and long-run stock returns: A score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012422031
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
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The demand for M3 in the euro area
Coenen, Guenter; Vega, Juan Luis - 1999
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long- and the short-term nominal interest rates, (ii) the long-term...
Persistent link: https://www.econbiz.de/10011604052
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Commodity prices, money and inflation
Browne, Frank; Cronin, David - 2007
equilibrium values having explanatory power for subsequent consumer price inflation. …
Persistent link: https://www.econbiz.de/10011604784