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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
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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
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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
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Nowcasting World GDP Growth with High-Frequency Data
Jardet, Caroline; Meunier, Baptiste - 2020
The Covid-19 crisis has shown how high-frequency data can help tracking economic turning points in real-time. Our paper investigates whether high-frequency data can also improve the nowcasting performances for world GDP growth on quarterly or annual basis. To this end, we select a large dataset...
Persistent link: https://www.econbiz.de/10014090107
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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
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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
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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
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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
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
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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 … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …
Persistent link: https://www.econbiz.de/10010322620