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In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using … data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the … period - although in general at a level below the inflation target - and it does not appear to have been affected much by the …
Persistent link: https://www.econbiz.de/10012818429
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We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid … statistically unstable across time in both regions. The effect that shocks to money growth has on inflation weakened notably after … monetary aggregates to inflation. …
Persistent link: https://www.econbiz.de/10014252440
attain local stationarity and bounded mean values. The model is applied to the analysis of inflation dynamics. Allowing for …
Persistent link: https://www.econbiz.de/10010382183
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014490330
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de/10014578421
monthly core inflation rate in Argentina, known as "resto IPCBA" and published by the Statistics Office of the City of Buenos …
Persistent link: https://www.econbiz.de/10011883796
Persistent link: https://www.econbiz.de/10009768055
Persistent link: https://www.econbiz.de/10011581633
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...
Persistent link: https://www.econbiz.de/10014252427