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Understanding inflation in emerging and developing economies
Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2019
Emerging market and developing economies (EMDEs) have experienced an extraordinary decline in inflation since the early 1970s. After peaking in 1974 at 17.3 percent, inflation in these economies declined to 3.5 percent in 2017. Despite a checkered history of managing inflation among many EMDEs,...
Persistent link: https://www.econbiz.de/10012060219
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A Study of the Romer and Romer Monetary Policy Shocks Using Revised Data
Andersson, Fredrik N. G.; Kilman, Josefin - 2021
Romer and Romer (2004) propose a simple method to estimate monetary policy shocks using forecasts and real-time data. However, such data is not always (publicly) available, especially in a historical context. We explore the consequences of using revised data instead of the original forecast and...
Persistent link: https://www.econbiz.de/10013208910
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One-stop source: A global database of inflation
Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2021
This paper introduces a global database that contains inflation series: (i) for a wide range of inflation measures (headline, food, energy, and core consumer price inflation; producer price inflation; and gross domestic product deflator changes); (ii) at multiple frequencies (monthly, quarterly...
Persistent link: https://www.econbiz.de/10012628459
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The evolution of wages in early modern Normandy (1600-1850)
Chambru, Cédric; Maneuvrier-Hervieu, Paul - 2021
secondary sources to assemble two new databases on wages and commodity prices to establish a new regional consumer price index …
Persistent link: https://www.econbiz.de/10012662676
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The downward spiral
Greenwood, Jeremy; Guner, Nezih; Kopecky, Karen A. - 2022
There have been more than 500,000 opioid overdose deaths since 2000. To analyze the opioid epidemic, we construct a model where individuals, with and without pain, choose whether to misuse opioids knowing the probabilities of addiction and dying. These odds are functions of opioid use. Markov...
Persistent link: https://www.econbiz.de/10014278374
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Estimates of cost-price passthrough from business survey data
Dogra, Keshav; Heise, Sebastian; Knotek, Edward S.; … - 2023
. Businesses indicated that their prices were strongly influenced by demand, a desire to maintain steady profit margins, and wages … and labor costs. Survey respondents expected reduced growth in costs and prices of about 5 percent on average over the …
Persistent link: https://www.econbiz.de/10014388419
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Inflation, trade frictions, and productive activity in a multiple-matching model of money
Laing, Derek; Li, Victor E.; Wang, Ping - 2000
equilibrium model of search. The use of a multiple-matching technique, where trade frictions are captured by limited consumption …
Persistent link: https://www.econbiz.de/10010397425
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Spline methods for extracting interest rate curves from coupon bond prices
Waggoner, Daniel F. - 1997
Cubic splines have long been used to extract the discount, yield, and forward rate curves from coupon bond data. McCulloch used regression splines to estimate the discount function, and, more recently, Fisher, Nychka, and Zervos used smoothed splines, with the roughness penalty selected by...
Persistent link: https://www.econbiz.de/10010397460
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A closed-form GARCH option pricing model
Heston, Steven L.; Nandi, Saikat - 1997
which current volatility is easily estimated from historical asset prices observed at discrete intervals. Empirical analysis … Black-Scholes model is updated every period and uses implied volatilities from option prices, while the parameters of the … GARCH model are held constant and volatility is filtered from the history of asset prices. The improvement is due largely to …
Persistent link: https://www.econbiz.de/10010397476
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Jump risk, time-varying risk premia, and technical trading profits
Feng, Chenyang; Smith, Stephen D. - 1997
In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...
Persistent link: https://www.econbiz.de/10010397482