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Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...
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We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy … of the aggregate forecast of euro area and US inflation in some situations, but not in others …
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