and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in … the US. We find that inflation uncertainty effects output variability positively, while output variability has a negative … effect on inflation uncertainty …

frequency vector autoregression (VAR). It shows that potential causalities for inflation, relative price variability, relative …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …

and inflation in the euro area over this period, and also generates important asymmetric tail risks in these macroeconomic … variables. Finally, compared to the literature on growth- and inflation-at-risk, we found that financial stress indicators do …

In U.S. data, inflation and output are negatively related in the long run. A Bayesian VAR with stochastic trends … generalized to be piecewise linear provides robust reduced-form evidence in favor of a threshold level of trend inflation of … around 4%, below which potential output is independent of trend inflation, and above which, instead, potential output is …

In the present study, we examine the relationship between inflation and inflation uncertainty using monthly Consumer … inflation rates. The A-DCC model allows for conditional asymmetries in covariance and correlation dynamics, thereby enabling to … decreasing inflation uncertainty is expected to reduce inflation. This seems a hard enough, especially with the political …