ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost … growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation …. There is, however, some support in favour of the (reduced form) AWM inflation equation. It is the only model that …

attain local stationarity and bounded mean values. The model is applied to the analysis of inflation dynamics. Allowing for …

variables that we predict are output growth and inflation, two representative variables from our set of indicators that are … macroeconomic indicators (not including spreads) perform best when forecasting inflation in non-volatile time periods, while …

idiosyncratic components, we study the regime dependence of the inflation-RPV relation in Argentina and the USA. Under High …Using frequency domain techniques to separate short and long run dynamics and decomposing inflation into its common and … inflation, strong long-run comovement between RPV and Inflation is found for both economies, that extends to the short run …

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses … quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news … empirical pricing kernels. The options-implied densities assign considerably more mass to extreme inflation outcomes (either …