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Persistent link: https://www.econbiz.de/10012095533
Using GARCH-in-Mean models, we study the robustness of the risk-return relationship in monthly U.S. stock market returns (1928:1-2004:12) with respect to the specification of the conditional mean equation. The issue is important because in this commonly used framework, unnecessarily including an...
Persistent link: https://www.econbiz.de/10005397352
type="main" xml:id="obes12041-abs-0001" <title type="main">Abstract</title> <p>We propose a new methodology for ranking in probability the commonly proposed drivers of inflation in the new Keynesian model. The approach is based on Bayesian model selection among restricted vector autoregressive (VAR) models, each of which...</p>
Persistent link: https://www.econbiz.de/10011085579
This paper shows that the Michigan survey data on inflation expectations is consistent with a simple sticky information model where a significant proportion of households base their inflation expectations on the past release of actual inflation rather than the rational forward-looking forecast....
Persistent link: https://www.econbiz.de/10005006635
Since the mid-1980s, Phillips curve forecasts of US inflation have been inferior to those of a conventional causal autoregression. However, little change in forecast accuracy is detected against the benchmark of a noncausal autoregression, more accurately characterizing US inflation dynamics.
Persistent link: https://www.econbiz.de/10010572258
In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed for forecasting such time series because the prediction problem is generally nonlinear and therefore no...
Persistent link: https://www.econbiz.de/10010573811
We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly...
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