Similar Search Results

Inflation Targeting : New Evidence from Fractional Integration and Cointegration

Canarella, Giorgio - 2017

We investigate inflation persistence in six inflation targeting (IT) countries from the global-economy perspective. This view maintains that inflation persistence in IT countries has declined mainly because of the decline of inflation persistence in the global economy. We provide empirical...

Persistent link: https://www.econbiz.de/10012968413

Purchasing Power Parity between the UK and the Euro Area

Canarella, Giorgio - 2015

We use the Johansen cointegration approach to assess the empirical validity of the purchasing power parity (PPP … space. We fail to validate the Johansen and Juselius (1992) original hypothesis that nonstationarity of the PPP associates … reject PPP. We find that PPP cointegrates with inflation differentials. We also find, contrary to conventional wisdom, that …

Persistent link: https://www.econbiz.de/10013036019

Time-Varying Persistence of Inflation : Evidence from a Wavelet-Based Approach

Boubaker, Heni - 2017

We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...

Persistent link: https://www.econbiz.de/10012968414

The real exchange rate in small, open, developed economies : evidence from cointegration analysis

Bagchi, Debabrata; Chortareas, Georgios E.; Miller, … - In: The economic record : er 80 (2004) 248, pp. 76-88

Persistent link: https://www.econbiz.de/10001999016

Purchasing power parity between the UK and Germany : the euro era

Canarella, Giorgio; Miller, Stephen M.; Pollard, Stephen K. - In: Open economies review 25 (2014) 4, pp. 677-699

Persistent link: https://www.econbiz.de/10010411925

The Real Exchange Rate in Small, Open, Developed Economies : Evidence from Cointegration Analysis

Bagchi, Debabrata; Chortareas, Georgios E.; Miller, … - 2004

We examine the effects of the terms of trade and the expected real interest rate differential on the real exchange rate in small, open, developed economies. We employ cointegration analysis to search for long-term linkages. We find that while both the terms of trade and the expected real...

Persistent link: https://www.econbiz.de/10014073034

Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence

Miller, Stephen M.; Fang, WenShwo; Lai, YiHao - Department of Economics, University of Connecticut - 2005

The effects of exchange rate risk have interested researchers, since the collapse of fixed exchange rates. Little consensus exists, however, regarding its effect on exports. Previous studies implicitly assume symmetry. This paper tests the hypothesis of asymmetric effects of exchange rate risk...

Persistent link: https://www.econbiz.de/10005626659

Did Okun's Law Die after the Great Recession?

Canarella, Giorgio - 2018

This paper proposes an empirical framework to estimate Okun's law which focuses on structural breaks and threshold nonlinearity. We use sequentially the Bai and Perron's (1998, 2003) structural break and threshold methodology to enable regime-dependent as well as threshold-dependent changes in...

Persistent link: https://www.econbiz.de/10012935682

Inflation Persistence and Structural Breaks : The Experience of Inflation Targeting Countries and the US

Canarella, Giorgio - 2017

This paper reports a two-stage analysis of inflation persistence using monthly data from 11 IT countries and, for comparison, the US, a non IT country with a history of credible monetary policy. First, we estimate inflation persistence in a rolling-window fractional integration setting using the...

Persistent link: https://www.econbiz.de/10012972821

Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S : Evidence from Historical Data

Albulescu, Claudiu - 2016

We provide new evidence on the relationship between inflation and its uncertainty in the U.S. on an historical basis, covering the period 1775-2014. First, we use a bounded approach for measuring inflation uncertainty, as proposed by Chan et al. (2013), and we compare the results with the Stock...

Persistent link: https://www.econbiz.de/10012986078

1
2
3
4
5
6
7
8
9
10
Next
Last