Showing 1 - 10 of 15,476
switch from exchange rate to inflation targeting and adoption of a policy rule for the use of petroleum revenues. We find … that the long-run means of CPI and core inflation rates declined significantly until the mid-1990s and have since then … remained close to the inflation target of 2.5% from 2001 onwards. The persistence in especially CPI inflation has fallen during …
Persistent link: https://www.econbiz.de/10012998261
Inflation (PCCI), a measure of underlying inflation in the euro area. The PCCI reflects the view that underlying inflation … captures widespread developments across the Harmonised Index of Consumer Prices (HICP) basket and that it is the persistent … component of inflation. Methodologically, it relies on a generalised dynamic factor model estimated on a large set of …
Persistent link: https://www.econbiz.de/10012301116
consistent with the official monetary policy. Second, we seek to shed light on the inflation process of these countries. To this … end, we carry out an estimation of an open economy Philips curve (PC). Our main finding is that inflation rates were not … monetary arrangements for price stability. The analysis of the conditional inflation variance obtained from GARCH estimation of …
Persistent link: https://www.econbiz.de/10014202611
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931
estimation robustness. The Bai-Perron test is used to identify breakpoint dates for the Indian stock market index, and the … among the variables throughout the examined period. Specifically, the weighted average call money rate (WACR), inflation …
Persistent link: https://www.econbiz.de/10015163511
The import and export price indices of an economy are usually compiled by some Laspeyres type index. It is well known … that such an index formula is prone to substitution bias. Therefore, also the terms of trade (ratio of export and import … price index) are likely to be distorted. The underlying substitution bias accumulates over time. The present paper …
Persistent link: https://www.econbiz.de/10012320510
Some recent studies have suggested constructing a Monetary Conditions Index (or MCI) to serve as an indicator of …-term focuses of policy--economic activity and inflation. This paper derives analytical and empirical properties of MCIs in an … inflation to the variables in the MCI. Several issues arise for that model, including its empirical constancy, cointegration …
Persistent link: https://www.econbiz.de/10014101940
This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation …
Persistent link: https://www.econbiz.de/10011342928
We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only...
Persistent link: https://www.econbiz.de/10012010854
This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the "unconditional probability of a given process not crossing its mean in period t" and its estimator, is made clear...
Persistent link: https://www.econbiz.de/10013318721