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From Galloping Inflation to Price Stability in Steps: Israel 1985–2013
Melnick, Rafi; Strohsal, Till - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
After the introduction of a stabilization program Israeli inflation decreased from 400% in 1985 to 2% in 2013. This … process is defined by three clear steps of high, medium and low inflation. The break dates are in line with major economic …
Persistent link: https://www.econbiz.de/10011277264
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Are US Inflation Expectations Re-Anchored?
Nautz, Dieter; Strohsal, Till - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Anchored inflation expectations are of key importance for monetary policy. If long-terminflation expectations arewell … breaks to investigate the de- and re-anchoring of US inflation expectations. We confirm earlier evidence on the de …
Persistent link: https://www.econbiz.de/10010938965
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Persistence and Nonstationary Models
McCabe, B.P.M.; Martin, G.M.; Tremayne, A.R. - Department of Econometrics and Business Statistics, … - 2003
The aim of this paper is to examine the measurement of persistence in a range of time series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time series which, in addition to accommodating the standard I(0) and...
Persistent link: https://www.econbiz.de/10005149028
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Residual Diagnostic Plots for Checking for model Mis-Specification in Time Series Regression.
Fraccaro, R.; Hyndman, R.; Veevers, A. - Department of Econometrics and Business Statistics, … - 1998
This paper considers residuals for time series regression. Despite much literature on visual diagnostics for uncorrelated data, there is little on the autocorrelated case. In order to examine various aspects of the fitted time series regression model, three residuals are considered. The fitted...
Persistent link: https://www.econbiz.de/10005581126
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The Integration and Efficiency of the Scandinavian Foreign Exchange Market 1873-1914: A Quantitative Analysis
Talia, Krim - Economics Institute for Research (SIR), … - 2004
This paper applies theories and methods from modern economics and finance to new sets of historical financial data in order to study the integration and efficiency of the Scandinavian foreign exchange market. Series of the monthly prices of sight sterling bills have been collected and subjected...
Persistent link: https://www.econbiz.de/10005649154
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Price adjustments by a gasoline retail chain
Asplund, Marcus; Eriksson, Rickard; Friberg, Richard - Economics Institute for Research (SIR), … - 1997
This paper provides a detailed examination of price responses in the Swedish gasoline market to changes in the world market price. We use daily price data from one of the leading retail chains together with input costs (spot market price and exchange rate)for the period January 1980 to December...
Persistent link: https://www.econbiz.de/10005649359
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Inflation Expectations Spillovers between the United States and Euro Area
Netšunajev, Aleksei; Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break …-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector … autoregressive (SVAR) model. The SVAR approach allows to identify US and EA specific inflation expectations shocks. By modeling the …
Persistent link: https://www.econbiz.de/10011277301
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Monetary Policy, Determinacy, and the Natural Rate Hypothesis
Meyer-Gohde, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
, determinacy depends only on the parameters in the interest rate rule and a pure forward or backward-looking inflation target is … inconsistent with determinacy. Monetary policy that embodies the Taylor principle with respect to contemporaneous inflation …
Persistent link: https://www.econbiz.de/10009209821
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Stronger evidence of long-run neutrality: a comment on Bernanke and Mihov
Giordani, Paolo - Economics Institute for Research (SIR), … - 2001
Few propositions in macroeconomics are less controversial than long-run money neutrality, yet clear and robust empirical support has not been found in time series studies. Bernanke and Mihov (1998) are comparatively successful in this hunt, but their output response to monetary policy shocks...
Persistent link: https://www.econbiz.de/10005190904
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Reconsidering the Role of Money for Output, Prices and Interest Rates
Favara, Giovanni; Giordani, Paolo - Economics Institute for Research (SIR), … - 2002
New Keynesian models of monetary policy assign no role to monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. We evaluate the empirical validity of this prediction by studying the effects of shocks...
Persistent link: https://www.econbiz.de/10005423836