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Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey

Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26

This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on … inflation volatility.Also, causality tests results indicate that changes in the exchangerate, output gap volatility, and output … gap will have permanent andtemporary causal effects on inflation volatility. The policymakersshould carefully consider …

Persistent link: https://www.econbiz.de/10014312187

Investigating seasonality, policy intervention and forecasting in the Indian gold futures market : a comparison based on modeling non-constant variance using two different methods

Nargunam, Rupel; Wei, William W. S.; Anuradha, N. - In: Financial innovation : FIN 7 (2021), pp. 1-15

This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form. The trade of gold futures relates to seasons, festivity, and...

Persistent link: https://www.econbiz.de/10012617371

Testing jointly for structural changes in the error variance and coefficients of a linear regression model

Perron, Pierre; Yamamoto, Yohei; Zhou, Jing - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 1019-1057

We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type...

Persistent link: https://www.econbiz.de/10012315798

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...

Persistent link: https://www.econbiz.de/10012886334

Machine learning methods for inflation forecasting in Brazil : new contenders versus classical models

Araújo, Gustavo Silva; Gaglianone, Wagner Piazza - In: Latin American journal of central banking : LAJCB 4 (2023) 2, pp. 1-29

In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out-of-sample forecasting exercise is designed with multiple horizons, a large database of 501 series, and 50 forecasting methods, including new ML techniques proposed here,...

Persistent link: https://www.econbiz.de/10014382916

Anticipation of central banks' adoption of inflation targeting and its effect on inflation

Dubey, Amlendu Kumar; Mishra, Akanksha - In: Central Bank review / Central Bank of the Republic of Turkey 23 (2023) 2, pp. 1-13

We construct an empirical test of whether the anticipation of adoption of inflation targeting affects the inflation rate. We observe that most of the central banks adopt the regime after first achieving significant disinflation. With pre-inflation-targeting-disinflation, initial targets are met...

Persistent link: https://www.econbiz.de/10014364299

The bias of the ECB inflation projections : a state-dependent analysis

Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2024

We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is most pronounced at intermediate forecasting...

Persistent link: https://www.econbiz.de/10015179408

The bias and efficiency of the ECB inflation projections : a state dependent analysis

Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta - 2021

We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time...

Persistent link: https://www.econbiz.de/10012544414

Bayesian analysis of output gap in Barbados

Agbeyegbe, Terence D. - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-14

This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not for the model that does not. The best...

Persistent link: https://www.econbiz.de/10012545648

Econometric analysis of the currency crisis as a consequence of inflation targeting

Krušković, Borivoje D. - In: Journal of central banking theory and practice 14 (2025) 1, pp. 43-57

This paper analyzes the unanalized topic in macroeconomic (monetary) politics, which is the emergence of the currency crisis as a consequence of targeting inflation. Many central banks adopted inflation targeting under a pressure from the IMF. Sudden depreciation of exchange rate which results...

Persistent link: https://www.econbiz.de/10015376914