Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on … the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …

The extent to which the stock market provides a hedge to investors against inflation is examined for African stock … markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the …

-have been carried out at no cost to output. After suggesting a new methodology that allows for long-lived effects and inflation … combination of circumstances-i.e. capital inflows, structural reforms and the peculiar recent inflation history-can explain that …

linking interest rates to forecasts of future inflation. Such rules have been found to give rise to aggregate fluctuations due … properties of interest-rate rules whereby the central bank responds to a measure of past inflation. The consensus view that has … inflation are likely to ensure global stability provided that the coefficient on lagged interest rates is greater than unity. …

processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …

inflation in the cointegrated models. Finally, impulse response functions in the first difference specification die out within a …

When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …