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The Role of the Prior in Estimating VAR Models with Sign Restrictions

Inoue, Atsushi; Kilian, Lutz - 2020

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to imply … estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from exactly the same conceptual …

Persistent link: https://www.econbiz.de/10014090346

The contribution of jump signs and activity to forecasting stock price volatility

Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, Anthony; … - 2019

We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...

Persistent link: https://www.econbiz.de/10012030057

The Death of the Phillips Curve?

Murphy, Anthony - 2020

Are inflation dynamics well captured by Phillips Curve models, or has this framework become less relevant over time? The evidence for the U.S. suggests that the slopes of the price and wage Phillips Curvesâ€“ the short-run inflation-unemployment trade-offs â€“ are low and have got a...

Persistent link: https://www.econbiz.de/10014116131

Inflation and the gig economy : have the rise of online retailing and self-employment disrupted the Phillips curve?

Duca, John V. - 2018

During the recovery from the Great Recession, inflation did not reach the central bank's 2 percent objective as quickly as many models had predicted. This coincided with increases in online shopping, which arguably made retail markets more contestable and damped retail inflation. This hypothesis...

Persistent link: https://www.econbiz.de/10012030043

Two measures of core inflation : a comparison

Dolmas, Jim; Koenig, Evan F. - 2019

Trimmed-mean Personal Consumption Expenditure (PCE) inflation does not clearly dominate ex-food-and-energy PCE inflation in real-time forecasting of headline PCE inflation. However, trimmed-mean inflation is the superior communications and policy tool because it is a less-biased real-time...

Persistent link: https://www.econbiz.de/10012030059

The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

Kilian, Lutz; Zhou, Xiaoqing - 2021

Predictions of oil prices reaching $100 per barrel during the winter of 2021/22 have raised fears of persistently high inflation and rising inflation expectations for years to come. We show that these concerns have been overstated. A $100 oil scenario of the type discussed by many observers,...

Persistent link: https://www.econbiz.de/10013312158

A Broader Perspective on the Inflationary Effects of Energy Price Shocks

Kilian, Lutz; Zhou, Xiaoqing - 2022

Consumers purchase energy in many forms. Sometimes energy goods are consumed directly, for instance, in the form of gasoline used to operate a vehicle, electricity to light a home or natural gas to heat a home. At other times, the cost of energy is embodied in the prices of goods and services...

Persistent link: https://www.econbiz.de/10014264326

Oil Prices, Gasoline Prices and Inflation Expectations : A New Model and New Facts

Kilian, Lutz; Zhou, Xiaoqing - 2020

The conventional wisdom that inflation expectations respond to the level of the price of oil (or the price of gasoline) is based on testing the null hypothesis of a zero slope coefficient in a static single-equation regression model fit to aggregate data. Given that the regressor in this model...

Persistent link: https://www.econbiz.de/10014094427

How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises

Kilian, Lutz - 2023

monthly shock that may be used as an external instrument in a monthly VAR model or local projection. The standard approach has … announcements to identify news shocks in VAR models of the global oil market. The proposed approach calls into question the …

Persistent link: https://www.econbiz.de/10014352751

The roles of inflation expectations, core inflation, and slack in real-time inflation forecasting

Kishor, N. Kundan; Koenig, Evan F. - 2016

-which mandates that each forecasting VAR be augmented with a flexible state-space model of data revisions-consistently outperform the …

Persistent link: https://www.econbiz.de/10011567926