Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...

This study addresses the challenge of estimating the NAIRU in developing countries, focusing on Pakistan from 1972 to 2022. Due to data constraints in such contexts, it introduces robust methodologies, including Hodrick-Prescott and Kalman filters within a univariate framework, to derive NAIRU...

Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is hard to measure at the individual firm level given substantial missing-value problems (30%-100%) in either or both markets, even for highly liquid blue-chip financial firms. We...

Aim of this study is to examine the coherence of consumer price indices (CPI) variants in Pakistan using time series data. The techniques of data analysis are descriptive statistics and wavelet analysis. Plots of CPI variants show more frequent changes as compared to the base year / month from...

This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...

The natural rate of interest, often interpreted as the equilibrium real interest rate, serves as a critical benchmark for evaluating the stance of monetary policy. This paper investigates the natural rate of interest in Uzbekistan using three econometric approaches: the HLW-type model1 , a...

This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...

Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4-16 months)...

This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...

Standard nowcasting frameworks commonly use weekly or monthly variables to monitor quarterly gross domestic product (GDP). However, this method is not suitable for economies that track GDP annually. We modify the state-space representation of an otherwise standard dynamic factor model to...

The COVID-19 pandemic and the implementation of strict lockdown measures have significantly impacted various dimensions of the global economy. This study examines the impact of COVID-19 and lockdown stringency on exchange rate volatility in India using three core variables, i.e., COVID-19 cases,...

We estimate a New Keynesian model that allows endogenous transitions between a target equilibrium, with inflation fluctuating around the central bank's target and interest rates typically positive, and a low-inflation equilibrium, where the effective lower bound binds and de-anchored...

The energy-intensive nature of urban transport systems plays a major role in environmental decline, emphasizing the urgent need to foster sustainable energy adoption. This study takes Macao as an example and uses wavelet coherence to analyze the relationship between transportation and energy...

The paper compares two forecasts of Slovak GDP, the first with high-frequency data and the second without them. We utilize the last observation from the economic activity index acting as a short-term GDP forecast. We use data from 2000 to 2024 in weekly frequencies and have 27 variables related...