Showing 1 - 10 of 502
This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...
Persistent link: https://www.econbiz.de/10013315353
wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we …
Persistent link: https://www.econbiz.de/10013317584
We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...
Persistent link: https://www.econbiz.de/10013136525
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10013316643
This paper studies the role of global factors in causing common movements in consumer price inflation, with particular … collected from national and international sources. Global factors explain a large share of the variance of national inflation …
Persistent link: https://www.econbiz.de/10012962351
cross-country differences in the mismatch of perceived and actual inflation in the aftermath of the cash changeover are …
Persistent link: https://www.econbiz.de/10013317681
This paper provides a comprehensive empirical analysis of the role of discretionary fiscal policy for inflation … is difficult to find robust evidence of the fiscal policy stance or impulse impacting directly on inflation differentials …. We do find, however, support for an indirect effect of discretionary fiscal policy on inflation differentials working …
Persistent link: https://www.econbiz.de/10014257756
estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …
Persistent link: https://www.econbiz.de/10012842441
Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...
Persistent link: https://www.econbiz.de/10013059119
inflation and wage inflation) into trend and cyclical components. To do so, it relies on several reduced form relationships … reasonable forecasting performance in particular in terms of GDP and core inflation vis-a-vis a set of benchmarks …
Persistent link: https://www.econbiz.de/10013243813