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structural changes would provide a good empirical description of the classical model of inflation for Spain over this long period …. The principle testable implication is that money growth and inflation are cointegrated, ruling out speculative bubbles in … the Spanish inflation rates. …
Persistent link: https://www.econbiz.de/10015166985
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …
Persistent link: https://www.econbiz.de/10014205690
This paper analyzes euro area and U.S. inflation dynamics since the beginning of the 1990s by estimating New Keynesian … hybrid Phillips curves with time-varying parameters. We measure inflation expectations by subjective forecasts from Consensus … results indicate that in both economic areas the inflation dynamics have steadily become more forward-looking over time. We …
Persistent link: https://www.econbiz.de/10013081651
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …
Persistent link: https://www.econbiz.de/10013084430
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; Inflation ; Long Memory ; Normal Mixture …
Persistent link: https://www.econbiz.de/10003921443
attain local stationarity and bounded mean values. The model is applied to the analysis of inflation dynamics. Allowing for …
Persistent link: https://www.econbiz.de/10010382183
ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; inflation ; long memory ; normal mixture …
Persistent link: https://www.econbiz.de/10003943625
The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … and food CPI, implying that the impacts of inflation shocks on their volatilities die away very slowly. However, the …
Persistent link: https://www.econbiz.de/10011476231
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 …
Persistent link: https://www.econbiz.de/10011606109
Persistent link: https://www.econbiz.de/10012694646