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Inflation and inflation uncertainty revisited : evidence from Egypt
Sharaf, Mesbah Fathy - In: Economies : open access journal 3 (2015) 3, pp. 128-146
The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence … inflation and inflation uncertainty in Egypt using monthly time series data during the period January 1974 - April 2015. To … endogenously control for any potential structural breaks in the inflation time series, Zivot and Andrews (2002) and Clemente …
Persistent link: https://www.econbiz.de/10011379937
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Asymmetric causality between inflation and uncertainty : evidences from 33 developed and developing countries
Hajamini, Mehdi - In: Journal of quantitative economics 17 (2019) 2, pp. 287-309
Persistent link: https://www.econbiz.de/10012418670
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …
Persistent link: https://www.econbiz.de/10014314068
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to … control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show … that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with …
Persistent link: https://www.econbiz.de/10014247995
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Trend dominance in macroeconomic fluctuations
Shibayama, Katsuyuki - 2015
This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation …
Persistent link: https://www.econbiz.de/10011342928
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On the Stratonovich-Kalman-Bucy Filtering Algorithm Application for Accurate Characterization of Financial Time Series with Use of State-Space Model by Central Banks
Ledenyov, Dimitri - 2015
and other central banks. We overviewed the Stratonovich-Kalman-Bucy filtering algorithm theory and its numerous …
Persistent link: https://www.econbiz.de/10013024408
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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
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Price, sales, and the business cycle : microeconomic evidence
Borraz, Fernando; Livan, Giacomo; Rodríguez-Martínez, … - In: Latin American journal of central banking : LAJCB 3 (2022) 1, pp. 1-15
This paper uses a rich weekly price database from the largest supermarket in Uruguay to analyze the relationship among prices, micro-level sales, and business cycle conditions. On average, 7% of products were on sale each month, and we show a positive and statistically significant but small...
Persistent link: https://www.econbiz.de/10013198119
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The multivariate simultaneous unobserved components model and identification via heteroskedasticity
Li, Mengheng; Mendieta-Muñoz, Ivan - 2019
We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only...
Persistent link: https://www.econbiz.de/10012010854