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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
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 study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic (linear and nonlinear) VARs. The performance...
Persistent link: https://www.econbiz.de/10008593003
fluctuations of output gap, however constructed or measured, are a good predictor of inflation in the UAE. This is carried out by … inflation in the UAE. …
Persistent link: https://www.econbiz.de/10009322891
This paper delves into the asymmetries of the exchange rate pass-through on prices in the case of Venezuela, extending the analysis of Mendoza (2004) the prices of goods and services. The data used is monthly for the period 07/90 -12/04. We find that pass-through in services is less than...
Persistent link: https://www.econbiz.de/10004992875
A linear and lagged relationship between inflation, unemployment and labor force change rate, π(t)=A0UE(t-t0)+A1dLF … in previous study holds together with statistical estimates of goodness-of-fit and RMSFE. Relationships between inflation … results obtained in the regression study. The VECM approach also allows re-estimation of the coefficients in the individual …
Persistent link: https://www.econbiz.de/10005835964
This chapter aims at assessing the long-run determinants and the short-run dynamics of inflation in each country … cointegrating VAR approach, which allows for a structural long-run analysis of inflation determinants along with an accurate … inflation differ in the countries belonging to the Euro Area, but also that cost-push factors have a considerable role in …
Persistent link: https://www.econbiz.de/10008836749
economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have … stability tests. Besides, we have found out that the relationships between spread-real economic activity and spread-inflation …
Persistent link: https://www.econbiz.de/10008836761
asymmetric effects on inflation in Costa Rica during the period 1991-2009. Three basic questions are tried to be answered: Is … the relative size of the impact on inflation of a given shock on the exchange rate? Among many variables, it is found that …
Persistent link: https://www.econbiz.de/10011111779