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A Structural Common Factor Approach to Core Inflation Estimation and Forecasting
Morana, Claudio - 2021
In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain … principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of …
Persistent link: https://www.econbiz.de/10013319480
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A Structural Common Factor Approach to Core Inflation Estimation and Forecasting
Morana, Claudio - 2013
In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain … principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the common persistent feature in inflation and excess nominal money growth and bears the interpretation of monetary …
Persistent link: https://www.econbiz.de/10014061779
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On the stability of the Phillips Curve in Nigeria : does the Lucas Critique apply?
Tule, Moses Kpughur; Adeleke, Adegoke Ibrahim - In: West African journal of monetary and economic integration 19 (2019) 2, pp. 45-70
This study seeks to examine the stability of the Phillips Curve in Nigeria, as well as to ascertain the applicability of the popular Lucas Critique to the Phillips Curve in Nigeria. Using quarterly data from 1990Q1 to 2018Q3, the model is estimated with robust OLS that accounts for possible...
Persistent link: https://www.econbiz.de/10013348461
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this …
Persistent link: https://www.econbiz.de/10010208787
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Money: inflation nexus in Indonesia : evidence from a P-Star analysis
Anglingkusumo, Reza - 2005
crisis is empirically examined. The standard model for themonetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation inIndonesia remarkably weIl. Hence, there is an empirical support for the assertion that …
Persistent link: https://www.econbiz.de/10011343263
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Modelling determinants of inflation in CESEE countries : global vector autoregressive approach
Jakši, Saša - In: Národohospodářský obzor : časopis věnovaný … 22 (2022) 2, pp. 137-169
Persistent link: https://www.econbiz.de/10013270502
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … drivers of the current financial crisis, if not possibly more. -- Commodity prices ; cointegration ; CVAR analysis ; global … liquidity ; inflation ; international spillovers …
Persistent link: https://www.econbiz.de/10003931399
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … drivers of the current financial crisis, if not possibly more. -- Commodity prices ; cointegration ; CVAR analysis ; global … liquidity ; inflation ; international spillovers …
Persistent link: https://www.econbiz.de/10003934679
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Exchange rate pass-through in Russia
Ponomarev, Jurij; Trunin, Pavel V.; Uljukaev, Aleksej V. - 2014
The article provides estimates of short-run and medium-run exchange rate pass-through into domestic prices in Russia during the period of 2000–2012 using vector error correction model. Exchange rate pass-through asymmetry estimates, its assessments on different sub-periods and exchange rate...
Persistent link: https://www.econbiz.de/10011398366
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Inflation Responses to Recent Shocks : Do G7 Countries Behave Differently?
Vogel, Lukas; Rusticelli, Elena; Richardson, Pete; … - 2009
rates on domestic inflation, which may have contributed to differences in policy stances during the boom in commodity prices …
Persistent link: https://www.econbiz.de/10012446312