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An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain
Tiwari, Aviral Kumar - In: Economic Modelling 29 (2012) 5, pp. 1571-1578
The paper examines Granger-causality between the producers' and the consumers' price using Australian data within the frequency domain framework. For long run relation, the Johansen and Juselius (1990) maximum likelihood approach to cointegration was utilized. The test is also supplemented by...
Persistent link: https://www.econbiz.de/10010597525
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Do corporate executives have accurate predictions for the economy? A directional analysis
Tsuchiya, Yoichi - In: Economic Modelling 30 (2013) C, pp. 167-174
Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...
Persistent link: https://www.econbiz.de/10010608307
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A DSGE-VAR model for forecasting key South African macroeconomic variables
Gupta, Rangan; Steinbach, Rudi - In: Economic Modelling 33 (2013) C, pp. 19-33
The paper develops a Small Open Economy New Keynesian DSGE-VAR (SOENKDSGE-VAR) model of the South African economy, characterised by incomplete pass-through of exchange rate changes, external habit formation, partial indexation of domestic prices and wages to past inflation, and staggered price...
Persistent link: https://www.econbiz.de/10010737983
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Forecasting exchange rates using panel model and model averaging
Garratt, Anthony; Mise, Emi - In: Economic Modelling 37 (2014) C, pp. 32-40
We propose to produce accurate point and interval forecasts of exchange rates by combining a number of well known fundamental based panel models. Combination of each model utilizes a set of weights computed using a linear mixture of experts's framework, where weights are determined by log scores...
Persistent link: https://www.econbiz.de/10010743991
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Nowcasting the French index of industrial production: A comparison from bridge and factor models
Brunhes-Lesage, Véronique; Darné, Olivier - In: Economic Modelling 29 (2012) 6, pp. 2174-2182
out to assess the forecasting performance of the estimated models, using predictive ability and model confidence set tests …. This latter allows getting several models displaying equivalent forecasting performance and therefore gives robustness to … the forecasting exercise rather than to base the forecasting analysis only on one model. …
Persistent link: https://www.econbiz.de/10010588231
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Do disaggregated CPI data improve the accuracy of inflation forecasts?
Ibarra, Raul - In: Economic Modelling 29 (2012) 4, pp. 1305-1313
inflation forecasts. Our forecasting approach is based on extracting the factors from the subcomponents of the CPI at the … disaggregated price data improves forecasting performance. The forecasts of the factor models that extract the information from the …
Persistent link: https://www.econbiz.de/10010573296
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The Halle Economic Projection Model
Giesen, Sebastian; Holtemöller, Oliver; Scharff, Juliane; … - In: Economic Modelling 29 (2012) 4, pp. 1461-1472
model using Bayesian techniques and evaluate the forecasting properties. Additionally, we provide an impulse response …
Persistent link: https://www.econbiz.de/10011048681
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Short-term inflation forecasting models for Turkey and a forecast combination analysis
Öğünç, Fethi; Akdoğan, Kurmaş; Başer, Selen; … - In: Economic Modelling 33 (2013) C, pp. 312-325
In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite...
Persistent link: https://www.econbiz.de/10011048867
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The choice of a foreign price measure in a Bayesian estimated new-Keynesian model for Israel
Argov, Eyal - In: Economic Modelling 29 (2012) 2, pp. 408-420
We estimate a small DSGE model by full information Bayesian techniques on the basis of Israeli data from 1995 to 2006. The model was first developed and estimated by means of classical GMM in Argov and Elkayam (2010), and since then it has been used at the Bank of Israel for monetary policy...
Persistent link: https://www.econbiz.de/10010573272
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The impact of oil price changes on Spanish and euro area consumer price inflation
Álvarez, Luis J.; Hurtado, Samuel; Sánchez, Isabel; … - In: Economic Modelling 28 (2011) 1, pp. 422-431
This paper assesses the impact of oil price changes on Spanish and euro area consumer price inflation. We find that the inflationary effect of oil price changes in both economies is limited, even though crude oil price fluctuations are a major driver of inflation variability. The impact on...
Persistent link: https://www.econbiz.de/10011048725