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How stable is the predictive power of the yield curve? Evidence from Germany and the United States

Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - 2000

Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...

Persistent link: https://www.econbiz.de/10010283311

Forecasting inflation with an uncertain output gap

Bjørnland, Hilde C.; Brubakk, Leif; Jore, Anne Sofie - 2006

The output gap (measuring the deviation of output from its potential) is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. The output gap is also an important variable in itself, as a measure of economic fluctuations. However, its definition...

Persistent link: https://www.econbiz.de/10010284323

AN EMPIRICAL STUDY OF SIMPLE SUM AND DIVISIA MONETARY AGGREGATION: A COMPARISON OF THEIR PREDICTIVE POWER REGARDING PRICES AND OUTPUT IN TURKEY

Karaman, Dogan - 2009

as an alternative forecasting tool. Based on our results, we confidently conclude that money provides a good amount of … output, real or nominal. In forecasting inflation, we make a distinction between high- and low-inflation environments. In …

Persistent link: https://www.econbiz.de/10009430936

A suite of inflation forecasting models

Álvarez González, Luis Julián; Sánchez García, Isabel - 2017

models that allow for a slowly evolving local mean when forecasting inflation …

Persistent link: https://www.econbiz.de/10012529595

Do inflation expectations improve model-based inflation forecasts?

Bánbura, Marta; Leiva León, Danilo; Menz, Jan-Oliver

Las expectativas de inflación de los pronosticadores profesionales ayudan a mejorar las previsiones de inflación basadas en modelos. Para una amplia gama de modelos de series de tiempo para el área del euro y sus Estados miembros, encontramos una mayor precisión de pronóstico en los modelos...

Persistent link: https://www.econbiz.de/10012670001

Inflation decomposition model: Application to Macedonian inflation

Andonova, Danica Unevska - 2018

results of the model's forecasting performance suggest that this model can be a useful analytical tool in the process of … to MAKPAM and enriches the set of tools for forecasting and monetary policy analysis in NBRM. In this paper we highlight …

Persistent link: https://www.econbiz.de/10012109773

Forecasting Macedonian Inflation: Evaluation of different models for short-term forecasting

Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017

Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …

Persistent link: https://www.econbiz.de/10011785369

Does the Phillips curve help to forecast euro area inflation?

Banbura, Marta; Bobeica, Elena - 2020

; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …

Persistent link: https://www.econbiz.de/10012422133

Disagreement and Biases in Inflation Expectations

Capistrán, Carlos; Timmermann, Allan - Banco de México - 2006

Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data. Furthermore, the extent of such disagreement varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation...

Persistent link: https://www.econbiz.de/10004974506

Do inflation expectations improve model-based inflation forecasts?

Bańbura, Marta; Leiva-Leon, Danilo; Menz, Jan-Oliver - 2021

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF and Consensus Economics compared to their...

Persistent link: https://www.econbiz.de/10012661632