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Inflation uncertainty revisited: A proposal for robust measurement
Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - 2011
Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information...
Persistent link: https://www.econbiz.de/10010312179
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Measuring the Level and Uncertainty of Trend Inflation
Mertens, Elmar - 2011
Firmly-anchored inflation expectations are widely viewed as playing a central role in the successful conduct of … monetary policy. This paper presents estimates of trend inflation, based on information contained in survey expectations, the …. In order to assess whether inflation expectations are anchored, uncertainty surrounding future changes in trend inflation …
Persistent link: https://www.econbiz.de/10013118650
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The Stochastic Volatility in Mean Model with Time-Varying Parameters : An Application to Inflation Modeling
Chan, Joshua C. C. - 2015
-lighting the empirical relevance of the proposed extension. Moreover, in a pseudo out-of-sample forecasting exercise, the proposed …
Persistent link: https://www.econbiz.de/10013026159
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Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
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 traded at the Mexican Derivatives Exchange (MEXDER). To...
Persistent link: https://www.econbiz.de/10010322620
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Forecasting short-run inflation volatility using futures prices : an empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
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 traded at the Mexican Derivatives Exchange (MEXDER). To...
Persistent link: https://www.econbiz.de/10008737147
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The Global Component of Inflation Volatility
Carriero, Andrea - 2018
structural analysis and forecasting purposes. We study the evolution of inflation rates in several countries, using a novel model …
Persistent link: https://www.econbiz.de/10012919564
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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10012924242
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
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Anticipating Long-Term Stock Market Volatility
Conrad, Christian; Loch, Karin - 2012
leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data … when it comes to long-term forecasting. …
Persistent link: https://www.econbiz.de/10011422246