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Pronosticando la inflación mensual en Colombia un paso hacia delante: Una aproximación "de abajo hacia arriba"

Alonso, Julio César; Rivera, Andrés Felipe - In: Revista de Métodos Cuantitativos para la Economía y … 23 (2017), pp. 98-118

The hierarchical structure of the Colombian Consumer Price Index (CPI) makes possible to calculate inflation as a linear combination of its subcomponents. We use SARIMA models to forecast each component of CPI and construct an forecast of inflation using a lineal combination of the forecasts of...

Persistent link: https://www.econbiz.de/10011995028

Short-term inflation projections model and its assessment in Latvia

Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic Journal of Economics 21 (2021) 2, pp. 184-204

This paper builds a short-term inflation projections (STIP) model for Latvia. The model is designed to forecast highly disaggregated consumer prices using cointegrated ARDL approach of [Pesaran, M., & Shin, Y. (1998). An Autoregressive Distributed Lag Modelling Approach to Cointegration...

Persistent link: https://www.econbiz.de/10013470760

Consumption loan augmented divisia monetary index and China monetary aggregation

Barnett, William A.; He, Kun; He, Jingtong - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-17

Simple sum monetary aggregates are based on accounting conventions and have no aggregation theoretic foundations in economic theory. In contrast, Divisia monetary aggregates are directly derived from aggregation and index number theory. Credit card services cannot be included in simple sum...

Persistent link: https://www.econbiz.de/10014332646

Monetary policy shocks in open economies and the inflation unemployment trade-off: The case of the Euro Area

Ribba, Antonio - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-12

In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to deal with the interaction of the European Central Bank and the US Federal Reserve. In other words, a proper identification of monetary policy shocks for an open economy like...

Persistent link: https://www.econbiz.de/10013201449

Monetary policy transmission: the case of Lithuania

Stakenas, Julius; Stasiukynaite, Rasa - In: Baltic Journal of Economics 17 (2017) 1, pp. 1-24

We study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. We employ a structural vector autoregressive model incorporating variables from both the euro area and Lithuania. The model exhibits a block exogenous structure to account for the fact that...

Persistent link: https://www.econbiz.de/10011868512

Anhaltende Divergenz der Lohnstückkostenentwicklung im Euroraum problematisch

Dullien, Sebastian; Fritsche, Ulrich - In: DIW Wochenbericht 74 (2007) 22, pp. 349-357

möglicherweise die einzelnen Länder der Eurozone gefährlich auseinander entwickeln und damit auf längere Sicht die Stabilität der …

Persistent link: https://www.econbiz.de/10011601730

Anhaltende Divergenz bei Inflations- und Lohnentwicklung in der Eurozone: Gefahr für die Währungsunion?

Dullien, Sebastian; Fritsche, Ulrich - In: Vierteljahrshefte zur Wirtschaftsforschung 76 (2007) 4, pp. 56-76

Dieser Aufsatz untersucht, inwieweit die jüngste Debatte um mögliche Divergenzen in der Eurozone tatsächlich einen … Eurozone tatsächlich sehr hartnäckig sind. In einem Vergleich mit der Entwicklung von Lohnstückkosten mit jenen zwischen US …-Staaten und deutschen Bundesländern zeigt sich zudem, dass die aktuellen Entwicklungen in der Eurozone tatsächlich für eine …

Persistent link: https://www.econbiz.de/10010377812

Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...

Persistent link: https://www.econbiz.de/10010295321

Spatial market integration and the dynamics of transaction costs in the Chinese soy bean market

Brosig, Stephan; Weitzel, Enno-Burghard; Glauben, Thomas; … - In: The Empirical Economics Letters 6 (2007) 5, pp. 431-437

The development over time of market integration between Chinese provinces is analyzed by estimating threshold vector error correction models for rolling windows during 1998-2003. Transaction costs clearly decrease during this period characterized by liberalization of external trade and domestic...

Persistent link: https://www.econbiz.de/10010319603

Investigating the impact of trade disruptions on price transmission in commodity markets: An application of threshold cointegration

Mann, Janelle; Brewin, Derek - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-7

Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial price transmission in commodity markets so that market participants and policy makers can understand the global impact of trade disruptions on prices. The threshold cointegration...

Persistent link: https://www.econbiz.de/10013201134

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