The study investigates the existence and extent of information rigidity in inflation forecasts among 25 developed and 18 developing economies during 2002-2017 period utilizing a survey data set never explored before on this issue. In general, the study finds some evidence of information...

In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

This paper estimates different versions of the stylized New Keynesian model of the Polish economy, in which alternative measures of inflation expectations are used, that is, model-consistent (rational) expectations and survey-based expectations of consumers, enterprises and financial sector...

In the rapidly developing world, forecasting is very important for numerous aspects of our lives, the finance realm not being an exception. Various qualitative and quantitative methods are used to predict what is ahead. One of them is the Delphi method, an anonymous, structured discussion among...

Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply...

In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out-of-sample forecasting exercise is designed with multiple horizons, a large database of 501 series, and 50 forecasting methods, including new ML techniques proposed here,...

The goal programming (GP) is a well-known approach applied to multi-criteria decision making (M-DM). It has been used in many domains and the literature offers diverse extensions of this procedure. On the other hand, so far, some evident analogies between M-DM under certainty and scenario-based...

This paper develops a notion of consumer confidence within a dynamic competitive equilibrium framework. In any situation where multiple equilibrium prices on next‐period spot markets are equally supported by the state of the economy, confidence is encoded in the subjective probabilities...