The association between oil prices and inflation has remained an intriguing issue for media, academic as well as policy enquiry. Against this backdrop, we perform the frequency-domain causality test to investigate whether the growth rate of oil prices has predictive content for inflation in...

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows identifying a housing demand shock in a six-variable VAR model by imposing...

Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in...

This paper has a focus on non-stationary time series formed from small non-negative integer values which may contain many zeros and may be over-dispersed. It describes a study undertaken to compare various suitable adaptations of the simple exponential smoothing method of forecasting on a...

Damped trend exponential smoothing has previously been established as an important forecasting method. Here, it is shown to have close links to simple exponential smoothing with a smoothed error tracking signal. A special case of damped trend exponential smoothing emerges from our analysis, one...

The vector innovation structural time series framework is proposed as a way of modelling a set of related time series. Like all multi-series approaches, the aim is to exploit potential inter-series dependencies to improve the fit and forecasts. A key feature of the framework is that the series...

It is a common practice to complement a forecasting method such as simple exponential smoothing with a monitoring scheme to detect those situations where forecasts have failed to adapt to structural change. It will be suggested in this paper that the equations for simple exponential smoothing...

The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable literature that examines its long-run properties,...