Similar Search Results

The Global Component of Inflation Volatility

Carriero, Andrea - 2018

Global developments play an important role in domestic inflation rates. Previous literature has found that a … substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However …, inflation volatility has been typically neglected, while it is clearly relevant both from a policy point of view and for …

Persistent link: https://www.econbiz.de/10012919564

Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction

Li, Mengheng - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …

Persistent link: https://www.econbiz.de/10012924242

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

Persistent link: https://www.econbiz.de/10011809984

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

Persistent link: https://www.econbiz.de/10011312197

Explaining the Great Moderation : It is Not the Shocks

Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2021

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism

Persistent link: https://www.econbiz.de/10013316599

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

Using survey information for improving the density nowcasting of US GDP with a focus on predictive performance during Covid-19 pandemic

Çakmaklı, Cem; Demircan, Hamza - 2020

We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...

Persistent link: https://www.econbiz.de/10012295853

Real-Time Density Forecasts from VARs with Stochastic Volatility

Clark, Todd E. - 2013

, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …

Persistent link: https://www.econbiz.de/10013095864

Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models

Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...

Persistent link: https://www.econbiz.de/10014574074

The role of comovement and time-varying dynamics in forecasting commodity prices

Allayioti, Anastasia; Venditti, Fabrizio - 2024

Commodity prices co-move, but the strength of this co-movement changes over time due to structural factors, like changing energy intensity in production and consumption as well as changing composition of underlying shocks. This paper explores whether econometric models that exploit this...

Persistent link: https://www.econbiz.de/10014486704