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Inflation persistence, inflation expectations, and monetary policy in China

Zhang, Chengsi - In: Economic Modelling 28 (2011) 1, pp. 622-629

This paper constructs a quarterly series of GDP deflator inflation for China from 1979 to 2009 and tests for a … structural break with an unknown change point in the dynamic inflation process. Empirical results suggest a significant … structural change in inflation persistence. Employing a counterfactual simulation method, we show that the structural change is …

Persistent link: https://www.econbiz.de/10010573373

A note on firm entry, markups and the business cycle

Cavallari, Lilia - In: Economic Modelling 35 (2013) C, pp. 528-535

This paper proposes a monetary model with firm entry as a means for alleviating the difficulties of real business cycle models in reproducing the smoothness and persistence of macroeconomic variables together with the volatility of profits and markups. Simulations show that my baseline model...

Persistent link: https://www.econbiz.de/10010719410

Covariate unit root tests under structural change and asymmetric STAR dynamics

Tsong, Ching-Chuan; Wu, Chien-Wei; Chiu, Hsien-Hung; … - In: Economic Modelling 33 (2013) C, pp. 101-112

In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...

Persistent link: https://www.econbiz.de/10010737999

Adaptive ARFIMA models with applications to inflation

Baillie, Richard T.; Morana, Claudio - In: Economic Modelling 29 (2012) 6, pp. 2451-2459

Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a … also that the new model can be efficiently estimated by a QMLE approach. We investigate monthly CPI inflation series for …

Persistent link: https://www.econbiz.de/10010588218