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Forecasts of inflation in the United States since the mid eighties have had smaller errors than in the past, but those conditional on commonly used variables cannot consistently beat the ones from univariate models. This paper shows through simple modifications to the classical monetary model...
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stochastic process, long-run model and cointegration approach and error correction model, this model can indicate how quickly the …
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invoking the approach by Aoki (1981) commonly used in economic theory. Assuming country symmetry in the long-run allows to … decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …
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bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
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