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An empirical assessment of the U.S. Phillips curve over time
Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021
the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years. …
Persistent link: https://www.econbiz.de/10012665848
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An Empirical Assessment of the U.S. Phillips Curve over Time
Vlekke, Marente; Koopman, Siem Jan - 2021
the Phillips curve over time. We considerdifferent specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years …
Persistent link: https://www.econbiz.de/10013313573
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Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
, inflation, and bond spread. We empirically identify a time-varying linkage between economic and financial variables which are … effects of financial shocks on output and inflation during crisis and non-crisis periods …
Persistent link: https://www.econbiz.de/10013220281
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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …
Persistent link: https://www.econbiz.de/10012924242
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …
Persistent link: https://www.econbiz.de/10011809984
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An empirical assessment of the U.S. Phillips curve over time
Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021
the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years. …
Persistent link: https://www.econbiz.de/10012797257
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
, inflation, and bond spread. We empirically identify a time-varying linkage between economic and financial variables which are … effects of financial shocks on output and inflation during crisis and non-crisis periods. …
Persistent link: https://www.econbiz.de/10012591572
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10010324992
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Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
Li, Mengheng; Koopman, Siem Jan - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …
Persistent link: https://www.econbiz.de/10011819542
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10011373822