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US Domestic Currency in Forecast Error Variance Decompositions of Inflation and Output
Aksoy, Yunus - 2014
variance decomposition of US inflation. We also find that domestic currency has higher share of the forecast error variance …
Persistent link: https://www.econbiz.de/10013056801
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Professionals forecasting inflation : the role of inattentiveness and uncertainty
Easaw, Joshy Z.; Golinelli, Roberto; Heravi, Saeed M. - 2022
The purpose of this paper is to investigate the nature of professionals’ inflation forecasts inattentiveness. We …
Persistent link: https://www.econbiz.de/10013178028
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Interest Rate Spreads as Predictors of German Inflation and Business Cycles
Ivanova, Detelina; Lahiri, Kajal; Seitz, Franz - 1999
We have studied the comparative performance of a number of interest rate spreads as predictors of the German inflation … three of the interest rate differentials also foreshadowed the long swings in the German inflation rate remarkably well with …
Persistent link: https://www.econbiz.de/10014195920
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Forecasting with a Bayesian DSGE Model: an application to the euro area
Smets, Frank; Wouters, Raf - 2004
inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general … distribution of the forecast, as well as various inflation risk measures that have been proposed in the literature. Finally, the …
Persistent link: https://www.econbiz.de/10011506582
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Forecasting with a Bayesian DSGE model : an application to the euro area
Smets, Frank; Wouters, Rafael - 2004
inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general … distribution of the forecast, as well as various inflation risk measures that have been proposed in the literature. Finally, the …
Persistent link: https://www.econbiz.de/10003285769
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Inflation expectations and the two forms of inattentiveness
Easaw, Joshy Z.; Golinelli, Roberto - 2014
The purpose of the present paper is to investigate the structure and dynamics of professionals' forecast of inflation … multi-period forecast and, thereby, the expected momentum of inflation. Using number survey-based data for the US and UK, we …
Persistent link: https://www.econbiz.de/10010429166
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Forecasting with a Bayesian DSGE Model : An Application to the Euro Area
Smets, Frank - 2010
inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general … distribution of the forecast, as well as various inflation risk measures that have been proposed in the literature. Finally, the …
Persistent link: https://www.econbiz.de/10013137109
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Forecasting the Intraday Market Price of Money
Monticini, Andrea - 2011
Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially predicted during turbulent times. A...
Persistent link: https://www.econbiz.de/10013119944
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Interpreting the Latent Dynamic Factors by Threshold FAVAR Model
Tuzcuoglu, Kerem - 2018
In this paper, we propose a latent threshold FAVAR model. The novelty is the interpretation of factors by observing how frequently factor loadings fall below estimated thresholds and become irrelevant. The results indicate that we are able to relate the factors to specific categories of the data...
Persistent link: https://www.econbiz.de/10012937966
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Financial Sector Weakness and the M2 Velocity Puzzle
Lown, Cara S. - 2010
Deterioration in the link between M2 and GDP, along with large prediction errors, led the Federal Reserve to downgrade M2 as a reliable indicator in 1993. We argue that the financial condition of depository institutions was a major factor behind this unusual pattern of M2 growth. When...
Persistent link: https://www.econbiz.de/10012716971