The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

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...

Forecasting inflation is generally considered a challenging task as forecasters face fundamental uncertainty about the proper selection of variables driving inflation dynamics. In this paper, we investigate the forecasting performance of variables representing economic activity, monetary policy...

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To investigate the forecasting performance of the models, two naive benchmark models (one is a variant of a random walk and the other is an autoregressive model) are first built based on...

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To investigate the forecasting performance of the models, two naive benchmark models (one is a variant of a random walk and the other is an autoregressive model) are first built based on...

This paper explores the specification and use of uncertainty measures in constructions of policy forecasts of money market activity. The concept of a policy forecast implies efforts not only to explicitly condition forecasts on assumptions regarding short-run operating procedures but also to...