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Internet search behavior as an economic forecasting tool: The case of inflation expectations
Guzman, Giselle - Volkswirtschaftliche Fakultät, … - 2010
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
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Inflation and Economic Growth in Zambia: A Threshold Autoregressive (TAR) Econometric Approach
Phiri, Andrew - Volkswirtschaftliche Fakultät, … - 2013
This study examines threshold effects of inflation on economic growth for the Zambian economy using quarterly data … identify whether there could be an optimal inflation level at which the adverse effects of inflation on economic growth are … subdued, or similarly, a level of inflation at which the positive effects of inflation on economic growth are maximized. In …
Persistent link: https://www.econbiz.de/10011112178
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The Multistep Beveridge-Nelson Decomposition
Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2009
The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained by...
Persistent link: https://www.econbiz.de/10005042687
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Direct and iterated multistep AR methods for difference stationary processes
Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008
The paper focuses on the comparison of the direct and iterated AR predictors when Xt is a difference stationary process. In particular, it provides some useful results for comparing the efficiency of the two predictors and for extracting the trend from macroeconomic time series using the two...
Persistent link: https://www.econbiz.de/10005668394
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A structural VAR (SVAR) approach to cost channel of monetary policy
Faiz ur, rehman; Wasim, shahid malik - Volkswirtschaftliche Fakultät, … - 2010
The study aims at investigating, whether or not the cost channel of monetary policy is effective in Pakistan. The cost channel is one of the theoretical justifications of Price Puzzle, a phenomenon that has been observed in a number of empirical studies. Using Structural Vector Autoregression...
Persistent link: https://www.econbiz.de/10009223345
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Further evidence regarding nonlinear trend reversion of real GDP and the CPI
Shelley, Gary; Wallace, Frederick - Volkswirtschaftliche Fakultät, … - 2010
his paper examines whether the CPI and real GDP for the U.S. exhibit nonlinear reversion to trend as recently concluded by Beechey and Österholm [Beechey, M. and Österholm, P., 2008. Revisiting the uncertain unit root in GDP and CPI: testing for non-linear trend reversion. Economics Letters...
Persistent link: https://www.econbiz.de/10008642687
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The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis
Ben Cheikh, Nidhaleddine - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates whether the exchange rate pass-through (ERPT) to CPI inflation is a nonlinear phenomenon for … confidence during the recent sovereign debt crisis has entailed a higher sensibility of CPI inflation to exchange rate movements. …
Persistent link: https://www.econbiz.de/10011108244
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Nonlinear mechanism of the exchange rate pass-through: Does business cycle matter?
Ben Cheikh, Nidhaleddine - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the presence of nonlinear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for …
Persistent link: https://www.econbiz.de/10011109154
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The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis
Ben Cheikh, Nidhaleddine; Rault, Christophe - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates whether the exchange rate pass-through (ERPT) to CPI inflation is a nonlinear phenomenon for … confidence during the recent sovereign debt crisis has entailed a higher sensibility of CPI inflation to exchange rate movements. …
Persistent link: https://www.econbiz.de/10011109707
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Non-linearities in exchange rate pass-through: Evidence from smooth transition models
Ben Cheikh, Nidhaleddine - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the presence of nonlinear mechanisms in the exchange rate pass-through (ERPT) to CPI inflation for … three macroeconomic factors, namely inflation rate, exchange rate fluctuations and business cycle. Our results reveals that … exchange rate transmission is higher when inflation rate surpass some threshold. We give a supportive evidence to the Taylor …
Persistent link: https://www.econbiz.de/10011258090