This study adopts the long-run structural VAR approach to analyse the determinants of inflation in the Euro Area economy over the period 1985:1- 2003:2. Theoretical relationships link inflation to markup and output gap, respectively. The short-run dynamic properties of inflation are investigated...

We analyse nominal exchange rate and price dynamics after risk premium shocks with short-term interest rates constrained by the zero lower bound (ZLB). In a small-open-economy DSGE model, temporary risk premium shocks lead to shifts of the exchange rate and the price level if a central bank...

By using a logistic smooth transition vector autoregressive model this paper examines whether the exchange rate had asymmetric effects on inflation in Costa Rica during the period 1991-2009. Three basic questions are tried to be answered: Is there any variable that significantly induces...

In this article we analyze the accuracy and stability of short-run inflation forecasts for Chile coming from Extended Seasonal Arima (ESARIMA) models. We compare ESARIMA forecasts to those coming from surveys and traditional time series bench- marks available in the literature. Our results show...

In this paper, we formulate a statistical model of inflation that combines data on survey expectations and the inflation target set by central banks.. Our model produces inflation forecasts that are aligned with survey expectations, thereby integrating the predictive power of the survey...

Changing time series properties of US inflation and economic activity are analyzed within a class of extended Phillips Curve (PC) models. First, the misspecification effects of mechanical removal of low frequency movements of these series on posterior inference of a basic PC model are analyzed...

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual inflation and inflation target, into predictable and...

This paper examines the long-term relationships between the main indicators of stock market and economic activity, in the case of Argentina. The paper employ Granger causality and exogeneity tests based on VEC models (vector error correction), with monthly data covering the period 1993:1-2010:8....

This paper aims to investigate whether the effect of inflation expectations, exchange rate, money supply, industrial production and import prices on inflation depends on business cycle. For this purpose, a two states Markov Switching Auto Regression model with time varying transition...

This paper challenges previous empirical evidence on output-inflation trade-off described in the hybrid New Keynesian Phillips curve. I estimate key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both the forward- and backward-looking inflation components, in the Czech...