. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics … alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …

The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence … inflation and inflation uncertainty in Egypt using monthly time series data during the period January 1974 - April 2015. To … endogenously control for any potential structural breaks in the inflation time series, Zivot and Andrews (2002) and Clemente …

measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to … control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show … that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with …

This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation …

and other central banks. We overviewed the Stratonovich-Kalman-Bucy filtering algorithm theory and its numerous …