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using survey data on inflation expectations. The results based on these two specifications exhibit sharp differences …
Persistent link: https://www.econbiz.de/10005101039
Persistent link: https://www.econbiz.de/10003375051
In this paper, we estimate and analyse a set of equations of French inflation for forecasting purpose at the horizon of … exogeneous variables outside the sampling period: given the history at time t, one forecasts the value of inflation at time t …
Persistent link: https://www.econbiz.de/10009001111
In this article, we analyze the US short term real interest rate series for the last five decades in the framework of a M-SETAR model (Momentum - Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use threshold...
Persistent link: https://www.econbiz.de/10008528500
The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of...
Persistent link: https://www.econbiz.de/10009018538
-parametric (kernel) estimators of the empirical forecast content function, and apply the results to forecast horizons for inflation and … les résultats aux horizons de prévision pour le taux de croissance du PNB et le taux d'inflation, au Canada et aux États-Unis. …
Persistent link: https://www.econbiz.de/10005100645
Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number...
Persistent link: https://www.econbiz.de/10005100698
We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005100843
Alors que des études antérieures ont exploré la relation entre l'inflation et la croissance économique, la littérature … existante sur l'effet de seuil de l'inflation sur la croissance économique dans la Zone Monétaire de l'Afrique de l'Ouest (ZMAO … vide dans la littérature empirique en exploitant la variation des taux d'inflation entre les pays et au fil du temps pour …
Persistent link: https://www.econbiz.de/10014560200
According to the quantitative theory of money, an expansion of the money supply leads both to a decrease of interest rates and an increase of the general level of good prices. This negative correlation expected between these two variables being contradicted by the positive correlation observed...
Persistent link: https://www.econbiz.de/10005078953