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Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination

Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap …

Persistent link: https://www.econbiz.de/10009380402

Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guerin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap …

Persistent link: https://www.econbiz.de/10013120226

A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains

Gospodinov, Nikolaj; Lkhagvasuren, Damba - 2013

This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...

Persistent link: https://www.econbiz.de/10010126857

Output Gap Estimation Uncertainty : Extracting the TFP Cycle Using an Aggregated PMI Series

Clancy, Daragh - 2019

methods applied for their estimation are as accurate as possible. A bivariate Kalman Filter (KF) model using capacity … the first-best approach for future TFP cycle estimation. This paper compares the existing method to an approach which uses …, and that this new approach leads to a reduction in the total estimation error variance and revisions required to TFP cycle …

Persistent link: https://www.econbiz.de/10012866790

RGAP: output gap estimation in R

Streicher, Sina - 2022

Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

Persistent link: https://www.econbiz.de/10013256541

Inflation dynamics under fiscal deficit regime switching in Mexico

Ramos-Francia, Manuel; García-Verdú, Santiago; … - 2018

We explore the dynamics of inflation, inflation expectations, and seigniorage-financed fiscal deficits in Mexico. To do so, we estimate the model in Sargent, Williams, and Zha (2009) using Mexican CPI inflation data. This model features dual expected inflation equilibriums and regime switching...

Persistent link: https://www.econbiz.de/10012165948

Understanding persistent stagnation

Cuba-Borda, Pablo; Singh, Sanjay R. - 2019 - This version: February 2019

We theoretically explore long-run stagnation at the zero lower bound in a representative agent framework. We analytically compare expectations-driven stagnation to a secular stagnation episode and find contrasting policy implications for changes in government spending, supply shocks and...

Persistent link: https://www.econbiz.de/10012004630

Inflation expectations and nonlinearities in the Phillips Curve

Doser, Alexander; Nunes, Ricardo; Rao, Nikhil; … - 2017 - This version: October 2017

This paper shows that a simple form of nonlinearity in the Phillips curve can explain why, following the Great Recession, inflation did not decrease as much as predicted by linear Phillips curves, a phenomenon known as the missing disinflation. We estimate a piecewise-linear specification and...

Persistent link: https://www.econbiz.de/10011764570

Do exchange rates absorb demand shocks at the ZLB?

Hoffmann, Mathias; Hürtgen, Patrick - 2021

According to the two-country full information New Keynesian model with flexible exchange rates, the real exchange rate appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse macroeconomic effects. This finding requires inflation...

Persistent link: https://www.econbiz.de/10012510174

Media tone : the role of news and social media on heterogeneous inflation expectations

Heikkinen, Joni; Heimonen, Kari - 2024 - This version: 04/09/2024

This study investigates the role of media tone on inflation expectations. Examining the relationships between news and the inflation expectations of various U.S demographic groupings, we find that traditional news influences older cohorts, while social media news align more closely with the...

Persistent link: https://www.econbiz.de/10015055189