In dieser Arbeit werden die Folgen der Calvo-Annahme in dynamischen makroökonomischen Modellen untersucht. Dafür wird die Calvo-Annahme unter Anwendung des Konzepts der statistischen Hazardfunktion verallgemeinert. Ich untersuche zwei mögliche Anwendungen dieses Ansatzes innerhalb von...

In this paper, we investigate empirically the relationship between inflation and inflation uncertainty in twelve EMU countries. We estimate a time-varying parameter model with a GARCH specification for the conditional volatility of inflation in order to distinguish between short-run (structural...

Una vasta literatura ha documentado que la persistencia de la inflación en Estados Unidos ha disminuido en las últimas décadas. Pero este hallazgo es difícil de explicar en los modelos monetarios. Usando datos de encuestas sobre expectativas de inflación, documento un comovimiento positivo...

Summary of Banco de España Working Paper no. 2309

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...

Price volatility in the corn market has changed considerably globalization and stronger linkages to the energy complex. Using data from January 1989 through December 2009, we estimate and forecast the volatility in the corn market using futures daily prices. Estimates in a Fractional Integrated...

The time horizon of decision-making is an essential dimension of economic problemsbut is difficult to explicitly define. In this thesis, we use time series analysisaugmented by wavelet transform methods to precisely identify distinct time horizonsin economic data and measure their explanatory...

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Mostprocedures for modeling and forecasting financial asset return volatilities, correlations,...

Recent empirical studies have argued that the temporal dependencies in "nancialmarket volatility are best characterized by long memory, or fractionally integrated, timeseries models. Meanwhile, little is known about the properties of the semiparametric inference procedures underlying much of...

This paper examines historical data on daily real wages in England for the time period 1260-1994 by means of new statistical techniques suitable for modelling long memory both at the long run and the cyclical frequencies. Specifically, it uses a procedure due to Robinson (1994) which is based,...