This paper modifies a P-star model to forecast inflation using an argument that is in line with the concept of “price gap”. Liquid assets such as government bonds are also included to measure money demand for asset transaction. The out-of-sample forecast results show that, at least since the...

The ability of term spread to forecast U.S. output growth could be improved by two ways: (i) Combining with the Harrod-Domar variable - net saving as a percentage of gross national income - that used to proxy for aggregate supply; and (ii) Using a system of simultaneous equations, in which U.S....

There is a consensus that during the Great Recession period quantitative easing puts downward pressure on long-term interest rates. Using quarterly data and vector autoregressive model this note provides empirical evidence that quantitative easing, measured by changes in monetary base as a...