Notwithstanding high unemployment following the Great Recession, inflation in the United States has been remarkably stable. We find that a traditional Phillips curve describes the behavior of inflation reasonably well since the 1960s. Using a non-linear Kalman filter that allows for time-varying...

A maximal overlap discrete wavelet transform is used to obtain time scale decompositions of economic forecasts and their errors. The generated time scale components can be used in loss measures and tests for comparing forecast accuracy to evaluate whether the forecasts accurately capture the...

This paper suggests using a unit t-value criterion in imposing restrictions on lags to formulate a subset vector autoregressive (VAR) model for the purpose of point forecasts. Among any other alternative models nested to the initial VAR model, this less restrictive modeling strategy produces the...

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its...

We examine the efficiency of German forecasts for output growth and inflation allowing for an asymmetric loss function of the forecasters. We find the loss of output growth forecasts to be approximately symmetric while there is an asymmetry in the loss of the inflation forecasts. The information...

We test for causality between inflation and its associated uncertainty by means of both in-sample and out-of-sample modelling. Our findings indicate that the impact of inflation on inflation uncertainty is more pronounced than the reverse causal effect.

We compare forecasts from different adaptive learning algorithms and calibrations applied to US real-time data on inflation and growth. We find that the Least Squares with constant gains adjusted to match (past) survey forecasts provides the best overall performance both in terms of forecasting...

In a general equilibrium model with at least three goods, a perfectly price-discriminating monopoly (PDM) selects an inefficient production plan even if consumers are homogenous, their preferences are representable by quasi-linear utilities, and their characteristics are known to the monopolist....

We consider a differentiated duopoly and endogenise the firm choice of the strategy variable (price or quantity) to play on the product market in the presence of network externalities. We model this choice by assuming both competition between entrepreneurial (owner-managed) firms and competition...

We provide a game-theoretic alternative of the kinked demand curve explanation of rigid prices. We analyze a duopoly where firms choose quantities and objectives. We identify cases under which firms choose to maximize their revenue. Under these cases, prices are insensitive to unit costs.