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Logeay, Camille; Tober, Silke - 2005 - This version: July 2005

This paper analyses the Nairu in the Euro Area and the influence that hysteresis had on its development. Using the … Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique … is applied here using explicit exogenous variables. In order to test for hysteresis, the dependence of the Nairu on …

Persistent link: https://www.econbiz.de/10003744523

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2015

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...

Persistent link: https://www.econbiz.de/10011326550

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...

Persistent link: https://www.econbiz.de/10012118184

Phillips curve shocks and real exchange rate fluctuations : SVAR evidence

Gehrke, Britta; Yao, Fang - 2014

Steinsson (2008) shows that real shocks that affect the New Keynesian Phillips curve explain the behavior of the real exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of the real exchange rate in the data. In a structural...

Persistent link: https://www.econbiz.de/10010400806

Time variation in the persistence of unemployment over the past century

Cho, Dooyeon; Rho, Seunghwa - In: Economics letters 182 (2019), pp. 19-22

Persistent link: https://www.econbiz.de/10012122416

RGAP: output gap estimation in R

Streicher, Sina - 2022

Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This paper presents the R package RGAP which...

Persistent link: https://www.econbiz.de/10013256541

Inflação, desemprego e choques cambiais : novas evidências para o Brasil

Sachsida, Adolfo; Mendonça, Mario Jorge; Medrano, Luis … - 2011

We estimate the Phillips curve with an exchange rate shock to the Brazilian economy. Besides panel data, we estimate the Phillips curve by time series methodology, including Bayesian techniques and Smoothing Transition Regressions (STR) model. The econometric results show three important...

Persistent link: https://www.econbiz.de/10009273892

Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey

Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26

This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on inflationvolatility in Turkey by using the ARDL bounds testing approach.Second, we also examine the causal relationship among these vari-ables by using Toda-Yamamoto and...

Persistent link: https://www.econbiz.de/10014312187

Posterior-predictive evidence on US inflation using Philips curve models with non-filtered time series

Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013

Persistent link: https://www.econbiz.de/10009724100

Posterior-predictive evidence on US inflation using extended Phillips curve models with non-filtered data

Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013 - July 2013, revised October 2013

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

Persistent link: https://www.econbiz.de/10010199052

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