In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries …: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …

interventions on the inflation target policy in Uganda, with the aim of including a target in the framework. By including exchange … costly in terms of the depression (below potential output) that is foregone by targeting inflation alone. In the most recent … SVAR approach reveals that exchange rates did not have significant effect on changes in both inflation and output in the …

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …

inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent …

This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data … covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our … main finding is that inflation persistence significantly declines in the early 1990s. An estimated factor model reveals …

This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data … covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our … main finding is that inflation persistence significantly declines in the early 1990s. An estimated factor model reveals …