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For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey … models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high … frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many …
Persistent link: https://www.econbiz.de/10009647457
This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed … from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation … Search Index (GISI) is assessed relative to 37 other indicators of inflation expectations – 36 survey measures and the TIPS …
Persistent link: https://www.econbiz.de/10009647210
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused … on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the …
Persistent link: https://www.econbiz.de/10009650037
The aim of this article is to assess the empirical evidence of the nexus between public expenditure and inflation for …(2) process. Moreover, we find a long-run relationship between the growth of public expenditure and inflation only for … inflation for Cyprus, Malta and Spain; of a bidirectional flow for Italy; and from inflation to public expenditure for France …
Persistent link: https://www.econbiz.de/10008804692
In Part One of this paper we use the harmonic analogy of a musical octave to analyze mathematic ratios of U.S. real GNP. These ratios are generated by bringing together figures for U.S. real GNP over intervals of time – “spreads of years” – as numerator and denominator in a single...
Persistent link: https://www.econbiz.de/10011168670
, using time series data. ADF unit root test is employed to check for stationarity. ARDL and DOLS approaches to cointegration …
Persistent link: https://www.econbiz.de/10008805480
This paper is concerned with the application of jackknife methods as a means of bias reduction in the estimation of autoregressive models with a unit root. It is shown that the usual jackknife estimator based on non-overlapping sub-samples does not remove fully the first-order bias as intended,...
Persistent link: https://www.econbiz.de/10011260303
We show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform distribution over the unit circle on the complex plane, when both T and n tend to infinity so that...
Persistent link: https://www.econbiz.de/10005837267
factors such as GDP, exchange rate, inflation, capital markets and fiscal deficit. We forecast some of the major economic …
Persistent link: https://www.econbiz.de/10008693559
Augmented Engle-Granger (AEG) co-integration test employed to investigate the dynamic relationship between capital flight and …
Persistent link: https://www.econbiz.de/10009397182