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The efficiency of monetary policy when guiding inflation expectations
Bauer, Christian; Weber, Sebastian - 2016
regression we analyze the persistence of inflation expectations from the Consensus Economics Survey at different quantiles. We …
Persistent link: https://www.econbiz.de/10011624340
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The efficiency of monetary policy when guiding inflation expectations
Bauer, Christian; Weber, Sebastian - 2016
regression we analyze the persistence of inflation expectations from the Consensus Economics Survey at different quantiles. We …
Persistent link: https://www.econbiz.de/10011574818
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Commodity Price Volatility under New Market Orientations
Weaver, Robert D; Natcher, William C - Volkswirtschaftliche Fakultät, … - 2000
volatility estimates based on the autoregressive conditional heteroskedasticity (GARCH) model are evaluated and compared to …
Persistent link: https://www.econbiz.de/10005619671
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An Inflation Expectations Horserace
Guzman, Giselle - 2012
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10013110892
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Evidence for Chaotic Dependence between US Inflation and Commodity Prices
Kyrtsou, Catherine - 2007
Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic...
Persistent link: https://www.econbiz.de/10012776655
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Detecting Positive Feedback in Multivariate Time Series : The Case of Metal Prices and US Inflation
Kyrtsou, Catherine - 2007
The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey-Glass process recently developed by Kyrtsou and Labys (2006) has been applied to assess this relationship. Results obtained...
Persistent link: https://www.econbiz.de/10012776658
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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Second Order Time Dependent Inflation Persistence in the United States : a GARCH-in-Mean Model with Time Varying Coefficients
Canepa, Alessandra - 2020
In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate … an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time … varying persistence, which not only distinguishes between changes in the dynamics of inflation and its volatility, but it also …
Persistent link: https://www.econbiz.de/10012843786
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Persistence Dependence in Empirical Relations : The Velocity of Money
Ashley, Richard A. - 2016
Standard theory predicts persistence dependence in numerous economic relationships. (For example, persistence … dependence is precisely the kind of nonlinear relationship posited in the Permanent Income Hypothesis; persistence dependence is … inference about persistence dependence in an economic relationship using available methods. However, recently developed …
Persistent link: https://www.econbiz.de/10013002631
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Finding a Stable Phillips Curve Relationship : A Persistence-Dependent Regression Model
Ashley, Richard A. - 2020
We establish that the Phillips curve is persistence-dependent: inflation responds differently to persistent versus … Recession. The persistence-dependent relationship we uncover is interpretable as being business-cycle-phase-dependent and is …
Persistent link: https://www.econbiz.de/10012849133