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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging
Jumah, Adusei; Kunst, Robert M. - 2008
Persistent link: https://www.econbiz.de/10003778880
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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging
Jumah, Adusei; Kunst, Robert M. - 2008
Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …-linear VAR with threshold cointegration based on data from Germany, Japan, UK, and the U.S. Following a traditional comparative … adequate penalty for the complexity of candidate models. -- threshold cointegration ; parametric bootstrap ; model averaging …
Persistent link: https://www.econbiz.de/10009735355
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Global stochastic trends in growth, interest and inflation : is the post-Bretton-Woods era driven by the Volcker disinflation?
Heinlein, Reinhold; Krolzig, Hans-Martin - 2013
This note aims to identify the stable long-run relationships as well as unstable driving forces of the world economy using an aggregated approach involving the four largest currency blocks. The small global macromodel encompasses aggregated quarterly US, UK, Japanese and Euro Area data for the...
Persistent link: https://www.econbiz.de/10010228337
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Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …
Persistent link: https://www.econbiz.de/10011654595
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Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …
Persistent link: https://www.econbiz.de/10011654734
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Can monetary policy surprises affect the term structure?
Claus, Edda; Dungey, Mardi H. - In: Journal of macroeconomics 47 (2016), pp. 68-83
Persistent link: https://www.econbiz.de/10011707502
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An empirical study of the stability of money demand
Al-dhaimesh, Hel Ajmi Jameel; Alqalawi, Usama Robin; … - In: Montenegrin journal of economics 19 (2023) 2, pp. 21-32
Persistent link: https://www.econbiz.de/10014279444
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Are bond markets really overpriced : the case of the US
Clostermann, Jörg; Seitz, Franz - 2005
empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …
Persistent link: https://www.econbiz.de/10012002995
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Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change : A Comparison of Models with Time-Varying Parameters
Barnett, Alina - 2012
Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While...
Persistent link: https://www.econbiz.de/10013106251
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Subjective Interest Rate Uncertainty and the Macroeconomy : A Cross-Country Analysis
Istrefi, Klodiana - 2016
We ask whether uncertainty about interest rates is important for economic activity. Causal effects of uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty and real activity cannot contemporaneously react to each other is indeed in line...
Persistent link: https://www.econbiz.de/10012999098