Modern theories of inflation incorporate a vertical long-run Phillips curve and are usually estimated using techniques that ignore the non-stationary behaviour of inflation. Consequently, the estimates obtained are imprecise and are unable to distinguish between competing models of inflation and...

This paper considers whether the Euro-area economies have become more competitive since the introduction of the Euro and the implementation of the Lisbon strategy. Using a measure of the markup as a proxy for competition we show that while the markup has varied considerably over the past 25...

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...

Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state...

Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state...

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...

Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a simple adaptive modification of the basic ARFIMA model, which uses a Flexible Fourier Form to allow for a time varying intercept. Simulation evidence suggests the model...

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive...

This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model...

We investigate the effect of inflation uncertainty on inflation from January 1982 through March 2016 for Turkey by using the Stochastic Volatility in Mean model with time-varying parameters. Our empirical evidence from consumer price index (CPI) inflation suggests that the observed positive...