This paper empirically compares sticky-price and sticky-information Phillips curves considering inflation dynamics in … moments of inflation. Under baseline calibrations, the two models perform similarly in almost all countries. Under estimated … unconditional moments of inflation dynamics better while sticky information is more successful in matching co-movement of inflation …

This paper evaluates the properties of nominal interest rates as indicators of inflation expectations. Are they … sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations …. However, changes in interest rates are poor indicators of changes in inflation expectations …

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market …

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … future values), whilst during crisis period the level of persistence is increasing. These results can be informative about …

This paper examines persistence in tax revenues in a set of 21 OECD countries over the period 1965-2021 using long …, Finland, Spain, Sweden and USA). The analysis is also carried out for inflation in the same set of countries. Again the I(1 …, stronger evidence of mean reversion is found for the differences between the three original tax series and inflation compared …

fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of …-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

processes, and provide information about the persistence and long-memory properties of the series and thus on whether or not the …

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …