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Evaluating FOMC forecast ranges : an interval data approach
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter - 2012 - This version: October 23, 2012
compare the midpoint of the ranges with the realized outcome. This paper proposes a new approach to forecast evaluation that … relevant for explaining future inflation than information embodied in the midpoint. -- Forecast evaluation ; interval data …
Persistent link: https://www.econbiz.de/10009534105
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Evaluating FOMC forecast ranges: an interval data approach
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter - 2012
compare the midpoint of the ranges with the realized outcome. This paper proposes a new approach to forecast evaluation that …
Persistent link: https://www.econbiz.de/10010294451
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Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
Tillmann, Peter - 2003
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...
Persistent link: https://www.econbiz.de/10010263095
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Uncertainty about federal reserve policy and its transmission to emerging economies : evidence from twitter
Tillmann, Peter - In: Macroeconomic shocks and unconventional monetary policy …, (pp. 41-65). 2019
Persistent link: https://www.econbiz.de/10012135308
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Quantitative easing and tapering uncertainty : evidence from Twitter
Meinusch, Annette; Tillmann, Peter - In: International journal of central banking : IJCB 13 (2017) 4, pp. 227-258
Persistent link: https://www.econbiz.de/10011785097
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The changing dynamics of US inflation persistence : a quantile regression approach
Wolters, Maik H.; Tillmann, Peter - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 161-182
Persistent link: https://www.econbiz.de/10011313590
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The changing dynamics of US inflation persistence : a quantile regression approach
Tillmann, Peter; Wolters, Maik H. - 2012
We examine both the degree and the structural stability of inflation persis tence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. Economic theory, however, provides various...
Persistent link: https://www.econbiz.de/10010392191
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The changing dynamics of US inflation persistence : a quantile regression approach
Tillmann, Peter; Wolters, Maik H. - 2014
We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation...
Persistent link: https://www.econbiz.de/10010394332
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Cointegration and regime-switching risk premia in the U:S: term structure of interest rates
Tillmann, Peter (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984469
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External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching
Tillmann, Peter - In: Journal of international financial markets, … 14 (2004) 5, pp. 439-454
Persistent link: https://www.econbiz.de/10002186669