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Oil price pass-through into core inflation
Conitti, Cristina; Luciani, Matteo - 2017
that the oil price passes through core inflation only via its effect on the whole economy. This pass-through is estimated …
Persistent link: https://www.econbiz.de/10011710173
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A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul; Zhong, Molin - 2016 - This version: April 25, 2016
This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make three contributions to the literature. First, the...
Persistent link: https://www.econbiz.de/10011500382
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Measuring international uncertainty : the case of Korea
Shin, Minchul; Zhang, Boyuan; Zhong, Molin; Lee, Dong Jin - 2017 - This version: April 20, 2017
We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10-2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty...
Persistent link: https://www.econbiz.de/10011710042
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The origins of aggregate fluctuations in a credit network economy
Altinoglu, Levent - 2018
I show that inter-firm lending plays an important role in business cycle fluctuations. I first build a tractable network model of the economy in which trade in intermediate goods is financed by supplier credit. In the model, a financial shock to one firm affects its ability to make payments to...
Persistent link: https://www.econbiz.de/10011932181
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An output gap measure for the euro area : exploiting country-level and cross-sectional data heterogeneity
Manuel, González-Astudillo, - 2018
heterogeneity. On the one hand, the method uses information on real GDP, inflation, and the unemployment rate for each member state …
Persistent link: https://www.econbiz.de/10011932248
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Forward guidance with Bayesian learning and estimation
Gust, Christopher J.; Herbst, Edward P.; López-Salido, … - 2018
Considerable attention has been devoted to evaluating the macroeconomic effectiveness of the Federal Reserve's communications about future policy rates (forward guidance) in light of the U.S. economy's long spell at the zero lower bound (ZLB). In this paper, we study whether forward guidance...
Persistent link: https://www.econbiz.de/10012016381
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Unemployment rate benchmarks
Crump, Richard K.; Nekarda, Christopher J.; … - 2020
This paper discusses various concepts of unemployment rate benchmarks that are frequently used by policymakers for assessing the current state of the economy as it relates to the pursuit of both price stability and maximum employment. In particular, we propose two broad categories of...
Persistent link: https://www.econbiz.de/10012389411
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Forecast combination for euro area inflation : a cure in times of crisis?
Hubrich, Kirstin; Skudelny, Frauke - 2016
The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether … from different models. The combination methods are evaluated for HICP headline inflation and HICP excluding food and energy … volatility in inflation. Overall, we find that, first, forecast combination helps hedge against bad forecast performance and …
Persistent link: https://www.econbiz.de/10011579164
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
patterns in economic activity and inflation following oil price shocks in the euro area. In the 'normal regime', oil price … shocks are followed by sizeable and sustained macroeconomic fluctuations, with inflation and economic activity moving in the … same direction as the oil price. The responses of inflation expectations and wage growth point to second-round effects as a …
Persistent link: https://www.econbiz.de/10011709632
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Measuring inflation anchoring and uncertainty : a US and Euro area comparison
Grishchenko, Olesya; Mouabbi, Sarah; Renne, Jean-Paul - 2017
We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that …
Persistent link: https://www.econbiz.de/10011803186