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Getting PPP right : identifying mean-reverting real exchange rates in panels
Chortareas, Georgios E. (contributor);  … - 2008
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …
Persistent link: https://www.econbiz.de/10003740322
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Getting PPP right : identifying mean-reverting real exchange rates in panels
Chortareas, Georgios E. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002153120
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Extraction of inflation expectations from financial instruments
Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018
In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...
Persistent link: https://www.econbiz.de/10011883446
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UK term structure decompositions at the zero lower bound
Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015
This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...
Persistent link: https://www.econbiz.de/10011339919
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Estimation of the Phillips Curve for Latvia
Meļihovs, Aleksejs (contributor); Zasova, Anna (contributor) - 2007
Persistent link: https://www.econbiz.de/10003647977
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Inflation decomposition model : application to Macedonian inflation
Andonova, Danica Unevska - 2018
The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by macroeconomic model of NBRM for monetary policy analysis and medium term projections (MAKPAM), into its components: food, energy and core inflation. The model for inflation...
Persistent link: https://www.econbiz.de/10011926820
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The time-varying degree of inflation expectation anchoring in Bolivia
Mora Barrenechea, Mauricio; Heredia Gómez, Juan Carlos; … - 2018
This paper analyzes the time-varying degree of inflation expectations anchoring in Bolivia and, more precisely, whether inflation expectations have been in line with the inflation objectives announced by the Central Bank of Bolivia (BCB, for its acronym in Spanish) and if they have become better...
Persistent link: https://www.econbiz.de/10011882774
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Markov regime switching and unit root tests
Nelson, Charles R. (contributor); Zivot, Eric (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001965291
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Panel data unit roots tests : the role of serial correlation and the time dimension
De Wachter, Stefan (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003262998
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Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920602