Purpose – The purpose of this paper is to propose and test empirically an inflation model containing permanent and transitory heteroskedastic components for the G7 countries. More specifically, recent evidences from the literature are gathered to construct a model with a heteroskedastic global...

Purpose – The purpose of this paper is to propose and test empirically an inflation model containing permanent and transitory heteroskedastic components for the G7 countries. More specifically, recent evidences from the literature are gathered to construct a model with a heteroskedastic global...

Traditionally, the literature on forecasting exchange rates with many potential predictors have primarily only accounted for parameter uncertainty using Bayesian Model Averaging (BMA). Though BMA-based models of exchange rates tend to outperform the random walk model, we show that when...

We develop models for examining possible predictors of growth of China’s foreign exchange reserves that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing with other alternative models, we show that the dynamic model averaging (DMA) and...

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...